Hello,
I checked the document you linked and ı have no problem with this. I tried to "Feature Class to Feature Class" tool for my kml layer and it works.
If ı tried to run "Kml to layer" tool, the parameter of output location normally see geodatabases i think. But, the tool can't see geodatabases and because of that the problem occured. Pro version is 3.1.1
Actually, I didn't realize the differences of kml layers to others.