As you point out, if the domain is integers and $P(x,y)$ is defined as $x > y,$
then the statement $\exists x \forall y \,P(x, y)$ is false.
It asserts that there is a single, specific integer -- whose value we could describe exactly right now if we had enough time and materials -- that is greater than any other integer.
But of course if we could describe such an integer, there would be (by definition) the sum of $1$ plus that integer, which would be greater than the integer we just described. So the greatest integer just doesn't exist.
But you must always remember that in mathematical logic, implication
$(\implies)$ is treated as follows:
$$ \mathbf{true} \implies \mathbf{false} \quad\mathrm{is}\quad \mathbf{false}. $$
$$ \mathbf{true} \implies \mathbf{true} \quad\mathrm{is}\quad \mathbf{true}. $$
$$ \mathbf{false} \implies \mathbf{false} \quad\mathrm{is}\quad \mathbf{true}. $$
$$ \mathbf{false} \implies \mathbf{true} \quad\mathrm{is}\quad \mathbf{true}. $$
There is only one way for this kind of implication to be false:
in the case where we assert that a true statement implies a false one.
Every other case is a true implication.
In particular, once you have determined that $\exists x \forall y \,P(x, y)$ is false, you know that
$$ \exists x \forall y \,P(x, y) \implies \forall y \exists x \, P(x, y) $$
You don't even need to ask (at this point) whether $\forall y \exists x \, P(x, y)$ is true.
But in your particular example, it turns out that $\forall y \exists x \, P(x, y)$ is true.
The difference is that for the first statement, we had to name one integer once and for all time that would be greater than every other.
But in the second example, because the $\forall y$ comes first, the $\exists x$ gets to choose a (possibly) different choice of $x$ for each value of $y.$
Therefore we know that
$$ \forall y \exists x \, P(x, y) \implies \exists x \forall y \,P(x, y) $$
is false in this example, because you have already determined that
$\exists x \forall y \,P(x, y)$ is false and we know that
$\mathbf{true} \implies \mathbf{false}$ is always a false statement.
So your example, far from contradicting the statements in the course notes, is actually a good example of how those statements are true.
Of course to actually prove that the statements are true you need more than a single example, but the first step toward understanding a proof is to understand what it is that you are proving. So it is important that you can see how this example would work.
Another way to think of $\forall y \exists x$ versus $\exists x \forall y$
is in terms of game strategy.
We have two players, $x$ and $y.$ Whoever appears first in the sequence of
$\forall$ and $\exists$ has the first move.
The sequence $\forall y \exists x \, P(x,y)$ means "no matter what player $y$ does as the first move, player $x$ can make a move afterward such that $P(x,y)$ will be true."
The sequence $\exists x \forall y \, P(x,y)$ means "there is a move that player $x$ can make first such that, no matter what player $y$ does afterward, $P(x,y) will be true."
If we're thinking about our own strategy for playing the game, we think of ourselves as $x$ (because we just need to come up with one "best" move)
and our opponent as $y$ (because we need to be prepared for whatever our opponent might do).
In the "choose the greatest number game" we clearly want to move last,
corresponding to $\forall y \exists x$.
Moving first ($\exists x \forall y$) is a guaranteed loss.