It seems as though you are not adding the steps to the correct asset. From your screenshot you have opened the pyDefault case type rule. You should be adding the stages and steps to the Case Designer. I would recommend closing the rule and redoing the exercise by adding the steps to a stage using the Case Designer.
Another issue you may be having is that the System Architect Essentials I course was built for Pega 7.1. I would recommend unenrolling in the SAE I course and enrolling yourself in the System Architect Essentials 7.2 course. There was some functionality changes between the Case Designer in 7.1 and 7.2 which are most likely causing your issues. In 7.1 each step created a flow whereas in 7.2 that is not the case.