This has been changed in 18.2 as suggested in task #4481615 (loosely linking to PR https://github.com/odoo/odoo/pull/189701). 
demo.odoo.com runs on the latest source, which is currently an 18.4e alpha build.

https://github.com/odoo/odoo/commit/704a5a19499469e5a14461bb81d33c832ce00d70:

[IMP] *expense*: Bye Bye reports
Most of the time, expenses are created as "standalone"s and forcing
the use of an expense report is adding frustrating unnecessary steps.

A simplification was decided and the model hr.expense.sheet is removed,
giving all of its remaining important logic to the `hr.expense`.

In addition, approval flow was simplified with the implementation of
an auto-validation process, where submitting an expense also approves it
when no expense manager is set on the employee.

Thus, you're not doing anything wrong but the video is just, unfortunately, slightly outdated.

If you want to see the old behavior, you can give the 18.0 runbot (https://runbot.odoo.com/) a try.