As stated in the message you could try to download the Atlas UI Resouorces from the app store.
This can be found via this link: https://marketplace.mendix.com/link/component/104730 or open the appstore in studio pro and search for UI resource
Typically, if you select MyFirstModule and do right-mouse click, you get an option to create a page. In that case, available templates should show up. As this learning path requests to use 8.12.5 version of Studio Pro, you might want to use the indicated version.