Do I have to study the lessons in order?

Not at all. When you join a school, you will have access to all of the recorded lessons from your teacher. The curricula have been crafted to progress through the skills from beginner to advanced and you are certainly welcome to proceed through the course in lesson order. You can also choose to skip around if your skills in one area need more work but are pretty developed in another area. It's your school so you can choose how you'd like to use it!