Are you using Blender 4.1 by chance? If so you'll have to shade smooth and then go under modifiers->normals->smooth by angle and add that modifier to your model to get the same result as auto smooth. You can then change the angle in the modifier. In 4.2 the auto smooth option in the context menu does this step for you.
Beware in 4.1 not to use the context menu smooth by angle, as it will add sharp edges to your model, likely preventing you from achieving the same result as in the course.
Best recommendation would be to follow the course with the Blender version the course was made with, in this case the newest 4.2LTS.
