We will update the training material soon. Thanks for the report.
The setting has been moved away from the data view settings to the button itself in a recent version of Mendix 6. Save and cancel buttons now have a setting 'close page', which performs the same function as the old 'close on save/cancel' setting.
When you click on the entity that is shown in the data view you will see a properties tab on the right side of your screen. In the middle of that tab under General you will find the property Close on save/cancel. This can be set to yes or no
If you don't see this Properties tab you can call it by selecting view -> properties.