I am on the same lesson, my Application Rulesets include 'EmpReimb' and I also do not have any dropdowns in the 'Parent Class (Directoed)' or 'Parent Class (Pattern)' of the 'Create Data Object Type' dialog box. No matter what characters I type in these two fields, no auto-complete occurs.
Any further guidance that can be offered would be appreciated.
In the screen shot on the page linked to from the initial post, the user is typing in Data-p (lower-case "p"). Try to either enter Data-P (upper case) or just Data- and then see if you get a drop-down list.