I saw this feature in a 2018 video tutorial, but I don't see it in 2019.

How does this work? Is there any way to do a split-screen showing me playing what is on the screen? This could be good for my students.

Yes, Video RealTracks still work in 2019. I'm not sure how many new video tracks have been made available.

You need to choose a style (or individual tracks) that contain video of the real tracks performances.
e.g. _CHEATIN.STY

Wasn't really a popular feature as there was a whole thread where users stated that they had little or no use for it.

But might have some teaching value in your case.

However, to be clear, the video styles are pre-recorded video. It's not designed to integrate video of your own playing into the song video. For that, you would have to use dedicated video recording software.