Reported for: WPML Multilingual CMS 4.5.8
Overview of the issue
LearnDash plugin allows you to change your courses URL structure from Settings → Permalinks page and checking the Enable Nested URLs option.
However, if you set your Courses (sfwd-courses) and Lessons (sfwd-lessons) as Translatable — use translation if available or fallback to default language in WPML → Settings → Post Types Translation, lessons will not open from the courses page.
As workaround you can go to WPML → Settings → Post Types Translation page and set your Courses (sfwd-courses) and Lessons (sfwd-lessons) as Translatable — only show translated items and duplicate them.
Alternatively, you can add the following line into your wp-config.php or functions.php theme file:
define( 'LEARNDASH_FILTER_PRIORITY_THE_CONTENT', 101 );