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WORKAROUND
Some of this may have already been mentioned but here is what works for me.
You can Favorite a lesson, click the little hear icon just below the video. It is in light gray so it can be easy to miss. The lesson then continues to show up as a “Favorite” under the drop down menu next to your profile photo in the upper right.
This saves the video only. You have to save the tab separately. You can open the tab for a lesson by licking the little staff icon (also in light gray) next to the heart icon. Now to save the tab you need to download it to your computer. In firefox in the upper right there is a folder icon with an arrow on it. Other browsers will have a way to download it or open in in Adobe PDF reader.
SECRET BONUS TIP
For lessons that are already gone go to history menu (may have a different name or might be in setting for other browsers) and look for pages you opened last month. Open one the tax ones and you may find last months lessons there. If not try another page in the history file.