I was able to download the "DEN70EDUD1001LAB01-Oracle.zip" successfully from the course. You could also try again to download the file from the "Additional References" tab of the on-demand course.
Regarding the SQLite connection, the error "unable to establish connection: The database has been closed" occurs when the SQLite jdbc url is pointing to a directory instead of the db file. You could modify the url to point to the sqlite file and then try to test the connection.
Starting from Denodo 7.0, our recommendation for doing the labs is to use the Denodo Quickstart Virtual Machine. All the data sources needed for doing the labs are already available in the Virtual Machine, you just need to download and configure the VM and when it is running you will be able to do all the labs.
Hope this helps!