I haven't tried these tutorials but doing thermal simulation from a long time. SW by default defines material to the parts but you have to change it otherwise it will be treated as undefined. To avoid such confusions you can also make your own library. Also, you can try the below steps:
- Open the study window
- right click part
- click "Apply material to body/all bodies"
- a window will open, select material of your choice or change the present selected default material by selecting any other material randomly.
- repeat above steps for all parts of the assembly.
- define all other requisite field
- run the analysis.
All the best