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It depends on which module you are learning. In the AZ-900 one you will get to use Azure to create a couple items such as a Azure SQL Database.
I haven't went to far into the AI module yet, but I do know that you will need a free trial to actually complete the modules.
In some of the other ones such as SC-900 (Security fundamentals) there are a lot of examples, but they are not connecting to your Microsoft Learn Sandbox account.
Hope this helps.