In this course, you'll see the z key hit to bring up the shading pie and X-Ray selected. My shading pie was missing this option. There are 2 reasons for this:
1. In Preferences -> Keymap -> 3D View section, you need to check "Extra Shading Pie Menu Items"
2. There are actually 2 different Shading Pies bound to z.
a. Go to Preferences -> Add-ons -> Interface: 3D Viewport Pie Menus
b. Uncheck Shading Pie: Hotkey: 'Z', this is an add-on that replaces the default Shading Pie and it does not contain X-Ray and is unaffected by the "Extra Shading Pie Menu Items".
This was brought up as an issue on the blender projects site and may be changed in the future. I'm currently using Blender 4.0.
