I feel you bro.
First time i looked into the video, guitar in hand and then PapaGates just starts blitzing over the fretboard and improvising.
I am very sure that this lesson (and very likely this whole module) is supposed to be more theoretical. If you look at other places, you will see that CAGED system is BIG (even if you don't fully understand the concept as I do). Maybe the purpose is to really get to know one of the major chords in Rock music...
So, just take it slow. If you feel frustrated, just avoid it for a couple of days and practice cord changes or learn a new riff/song.
For this lesson I am doing the following as practice:
-Play the arpeggio/chord/double stops
-Play the scale
-Play the pentatonic
-Mix scales and chords at random to see how they sound
-Slow down the video to 50/75% and play over his tracks
-I watched the video from Jak Angelescu on the first page and it also helps out
Suggestion:
It would be amazing if we could have some exercises at the end of each lesson, either as a separate video, or an exercise sheet. I have been basically copying what PapaGates is doing on the videos (but i have really bad imagination
)