Which Exercise Environment are you using to complete the exercises (Pega Cloud or the local Personal Virtual Server (PVS))? Also, which exercise are you working on when you encounter the error message?
The Case Types you defined earlier may not have been saved (persisted to the Pega Repository) in the On-line exercise system successfully. If they still do not appear, try re-creating them one at time and double check that they were successfully created before continuing to the next Case Type. For example, if the Onboarding Case is missing, add it again to the HRServices application, then log out of Designer Studio, close your browser, then re-enter the exercise system, log in again and verify that it was successfully saved. Repeat this process for the Payroll Setup and Benefits Enrollment Case Types if necessary.
In fact I recommend that each time you complete an exercise, you log-out of the exercise system, and close your browser. Before staring the next exercise, re-launch the exercise system and log in again. This will help ensure that you are always working with a clean, fresh session at the start of each exercise.