Hi Shay,
This looks normal to me.
You are getting the error because the ‘Available’ keying set will only keyframe existing channels.
I can see, however, in the autokey dropdown that you don’t have “Only Active Keying Set” enabled.

This is why it is adding the Y loc channel back.
If you check that one on, it will work exactly like the tutorial.
Keying has changed a little bit in 4.1 (as spikey mentioned) – where you don’t get the popup menu when you hit “i” and don’t have a keying set enabled.
But none of the changes are show stoppers for the workflow shown in the tutorials.
Hope that helps.