You are correct that the case study data isn't used until the very end of the course. The program to create the case study data for EG uses PROC HTTP to read the file from the SAS support site. It is likely your environment has restricted reading external files with that PROC, which is why you are getting errors. Instead, you can just click here to download the file to your local machine. https://support.sas.com/documentation/onlinedoc/viya/exampledatasets/TSAClaims2002_2017.csv You will then need to move it to your SAS server (if it is remote) to do the case study in your own version of EG.
Or keep in mind we offer the free virtual lab environment with the data preloaded. You will have to use SAS Studio, but remember the syntax you are practicing is exactly the same in either Studio or EG.