If I may offer a suggestion… Don’t categorize them by “Lectures”, but by ‘Sections’.
At least in my mind, that’s the next feasible category after course. Then, let the threads/posts themselves address individual lessons as students need them.
Forum:-----------------Course
Category:-------------Section
Thread:----------------Individual Lecture related question
(Example:)
Unreal Engine Course
-----Section 1: Introduction
-----Section 2: Bull Cow Game
-----Section 3: Building Escape
-----Section 4: Battle Tank
Students could put general questions and comments and shenanigans in the default UE forum, and could place their lecture related questions under the appropriate section sub-category. I think this would help give the organization you want, without clustering an ungainly amount of sub-categories. It would let you address semi-related questions in one location without having to view literally dozens of sub-categories for a single course. And it would let students frequent a single sub-category based on where they need help or would like to offer help.