I must have tried to do this lesson 3 – 4 times before I realize there is a small oversite in the presentation.  It has to do with the World > Volume > Volume Scatter between 0:00 – 1.04 seconds. The default for Density is 1.0. During the presentation  Jonathan took it from 1.0 to 0.0 and set it to 0.1. After that the rest of the lesson worked out. Maybe it’s just me, but hopefully this helps someone else.
Well spotted jjoevito ,
Full marks for paying attention in class.
Its not mentioned in the commentary of the increase to 0.1, a small oversight I'm sure.
Your right to point it out as it maybe confusing for those following along.
The value here though will be determined by the scenario in which its used in your later projects.
Perhaps I need to rephase what I wrote. If you find the render remains black after adding a light inside the scene, lower the Volume Scatter to .1 or lower. Since the world is so infinitely big, the render will remain black for the rest of the lesson. Hopefully this helps the next person.