You are correct.
The statement should be :
"Lookup data can not be used in a calculated field, because lookup data does not exist at the time of calculation."
Not that calculated fields can not be used with lookups.
This bug will be fixed on next release of the course.
Here are the details from the Docs:
You cannot base calculated fields on lookup fields. It won't work if you try. This is because, as mentioned above, the evaluation of calculated fields takes place after search-time field extraction and field aliasing, but before derivation of lookup fields.
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