Ice, I just tried that tutorial. Yes, there's no ETE indication on the DME, both in FSX and FS9. Maybe it (the conversation) was "carried over" from FS2002? I remember that there are DME gauges that have a switch on the DME panel to toggle between ETE and speed.
When he gives me the aircraft, the text on the upper left says I'm too far left so I fly to the right heading 005 to 010 but then I am instructed to head 360 so I do that then it complains again that I am too far left.... well I can't correct if you won't let me!!
This bug only appears in FSX, the FS9 version works fine. Well, I just ignored it and the sim still let me finish the tutorial.