Yep, I see what you mean. When I open the "Lesson10-TheAbsorptionAndScatteringVolumeShaders" file and enable the vdb and cloud collections, they seem to be empty. You can turn on the floor and axis so you don't feel so lost in all that grey. But for sure those seem to be missing I think. Ewa will know when she sees this.
Something's wrong there indeed:
But until Ewa fixes it, you can download some from here, to play around with: https://jangafx.com/software/embergen/download/free-vdb-animations
