In the AWS WAF & Shield Lesson / video you go from CloudFormation to CloudFront distribution with zero explanation. I did not have the CloudFront Distribution. Is that something that should have been created by the CloudFormation stack?
what you should keep in mind is, that you can associate the provisioned WebACL with any existing CloudFront distribution. I think, that the distribution in the video was created in the section, where an CloudFront distribution was created with an S3 origin and it was configured, that only the distribution can access the bucket (section "Forcing S3 to Use CloudFront").