I have checked this on our 1.9 instance. I get the same error message UNTIL such time as I, as instructor, have recorded attendance at least once. Then, when logged in as a student, the error message is replaced with an attendance report.
Maybe you set it all up, but since it was just a test, you never actually recorded attendance for any of the students? You might check. I have done that before, and Dmitry had to laugh at me!