So far my experience is that getting a SQL query correct is fairly easy and usually fun but that the real difficulty, e.g., for SQL Server, is for the rest: (1) Installation. Grim. Barbed wire enema. Wiped out my Windows boot partition requiring that I reinstall everything starting with the Windows DVD. (2) Security. The stuff with users , logins , etc. and nearly everything in SQL Server Management Studio was clear…
If you want to get an understanding of basic SQL without all that overhead, you can try Microsoft Access.
That was easy. Think of it as close to set theory!
I needed to get through all the overhead stuff since I'm using SQL Server in the server farm for my startup. So, I have code for Web pages with ADO.NET and also some stand alone programs that do SQL Server queries. Again, the only difficult stuff was the overhead stuff, and it would appear that the Khan course would not cover that.