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I’ve seen both ways done successfully. Someone who is service-based and provides great content and separates their course to a sub-domain to keep it exclusive and a bit special. For example, a 6 week course for $2k on a http://www.course.yourwebsite.com (still marketed from main website).
And I’ve seen similar businesses keeping the course in private (log in) pages on same website, usually at $500 price point and it’s used to enhance their other offerings.
If you plan to offer a big course, with others in the future, I’d go a separate site. If it’s just one more great service you offer, then keep it altogether. And I agree with Paul that websites are still a credibility platform (like a shop front) so it would be better to keep your main website.
Hope that helps