おそらく最近インストールするとCLIがsfdxからsfに変わったみたいですが、トレイルヘッドの記述は前のバージョンのままかもしれませんね。

As per the challenge I need to execute "SELECT Id, Name, Active__c FROM Account WHERE Active__c = 'Yes'" using "SFDX:Execute SOQL Query with Currently Selected Text" option but I get an error:

sfdx force:data:soql:query --query The "force data soql query" command has been deprecated. Use "data query" instead.

(node:34816) Warning: Deprecated environment variable: SFDX_JSON_TO_STDOUT. Please use SF_JSON_TO_STDOUT instead.

Try this

sf data query --query SELECT Id, Name, Active__c FROM Account WHERE Active__c = 'Yes'

https://developer.salesforce.com/docs/atlas.en-us.sfdx_cli_reference.meta/sfdx_cli_reference/cli_reference_old_new_command_mapping.ht

古い回答

Trouble with SFDX: Execute SOQL Query with Currently Selected Text