Some options in the customizer (Sidebar, Container, Distraction Free Learning) work seamlessly on the pages that are created from LearnDash Custom Post Type.
Below are the examples of LearnDash Custom Post Type Pages:
Single course pagesLessonsTopicsQuizzes
However, if you have created any layouts with the help of LearnDash shortcodes, the options in customizer mentioned above will NOT work. Instead, you can set the sidebar and container for those pages from the meta options.The LearnDash Layout options can be found at Appearance > Customize > Global > Container: