Fail #1: I wasn't able to load the sketch into the Arduino. Solution: Read the instructions on the lab and install the proper board manager for the Nano IoT.
Fail #2: I finally uploaded the sketch to the Arduino, but the pushbutton isn't working... I double checked my wiring and it looks exactly like the sketch. The resisters are all correct...
OK I swapped the yellow LED that I had for a green one. And it turned on! The red light isn't turning on... I will swap it for a new one.
Great news, I didn't even have to swap the red light, I just had to flip it around. Turns out the longer leg actually matters. It's hard to tell on LEDs with mangled legs.