Carolina,
Thank you for your question. This is a common issue which is related to missingness in the variables included in your regression. The issue occurs when there is at least one strata value with only one cluster (psu). If you tabulate psu and strata variables excluding all cases with missing values for all the variables in your model, you will find which strata values cause the issue. Theoretically, because strata values are ordinal you should combine the adjacent values of the strata. The course example should have given you a code to do this. In your situation, instead of female variable you should use var1 described below.
There are two simpler alternatives:
First, (not recommended) is to drop strata variable. The values will be unbiased, but conservative, i.e. there may be situation that you would have enough power to detect significant difference but it would appear non-significant because you omit strata. Ommitting psu or weight is wrong and will introduce bias to your estimates. The point is that if you omit strata (the code will run then) and you find significance, then you are safe. If you have marginal significance or nonsignificance, then you may still find significant difference with strata.
Second (recommended) is to use subpop option within svy command. I suggest that first, you create a variable indicating whether there is no missing value on any of the variables in your model (var1=1 and 0 otherwise). Now, keeping all the cases in the dataset (make sure you don't delete the ones that are not used in the model), run the usual svyset command. When running regression use the following syntax:
svy, subpop(var1): reg y1 x1 x2
This also will work if you are interested in a subgroup, e.g. only female. In this situation, make sure to keep all people in the dataset, and var1 will indicate females with no missing values on any of the variables.
Hope this helps,
Olena