Stick or move on from lesson?

I don't know Java at this point, but in my experience, learning in general is not to be thought of a once-and-done thing. It's also not worth, spinning your wheels, frustrated and even angry about a lesson when you don't get it all. It should be something you move through, get it as best you can and move on. If you TOTALLY just don't get a part, seek guidance. Otherwise mark areas you think you're weaker at and at some point in the future plan to come back and review.

For instance, I'm working through the Front End Web Developer track. For me to say that I'm as fluent in JavaScript, jQuery and AJAX as I'd like to be on the first pass would be naive. I just know that I'll get what I need now, run off and work with it, and keep a mental flag to myself saying "I'll need some more practice implementing x, y and z in JavaScript".

I suggest taking a similar multi-pass approach. I feel like it helps for long term retention, instead of getting caught up in every particular detail of a lesson.

I recommend that you stay with the course sequence. Dennis does a good job of building from one topic to another. You will use the knowledge you get in later modules. You learn code by writing code, and TreeHouse's approach is a sound one where they have you coding from the beginning. They also cover pretty essential topics. Once you see how big the Java language is, you will see that they are just focusing on the have-to-haves. The only module I skimmed through was the one on IntelliJ as I prefer a different IDE.

One thing that can help it to stick is to write your own little programs to run in the console from what you learn.