It's very strange, but PerformanceGoal option causes a problem in LearnedDistribution function returned by LearnDistribution. Sorry for long data, but this matters:

DSet = {{1.420959118813776, 1.6785122654061446}, {4.036232626854161, 
    0.3317744354679979}, {0.0041830187660819584, 
    0.5014145113024266}, {-2.517504991311017, -1.0343553882688026}, \
{1.0519034653085988, -0.5121770130907226}, {1.0437022397110385, \
-0.06449959962063723}, {1.084611564466783, -2.543621780539004}, \
{-0.33569947070510187, -1.7726389213678164}, {1.8169384114819214, \
-0.5037989506160763}, {3.807621602660633, 
    2.1900958424128385}, {2.9459059980899895, 
    0.47435675110761544}, {0.2583991262007259, -0.8227012642327249}, \
{2.1704017289850257, 
    1.5423692929898358}, {1.6201709457384466, -0.4076746545795853}, \
{0.8164056277225368, 1.764749887533215}, {1.6185147217287568, 
    0.7670906613267565}, {2.252385759932284, -0.6000822452386902}, \
{3.0907556814343318, 0.3266221672676535}, {1.6437706139308104, 
    0.054463231939564594}, {2.080255472143772, -1.0591388240845507}, \
{1.9786801750971883, -0.3667938240435564}, {2.9527714366232116, 
    0.26297593997459856}, {4.15885746362288, -0.3092084106147155}, \
{2.62498299960459, 2.3178202685615705}, {3.1922377182215254, 
    1.591992020983458}, {-0.356643908484123, -0.663686415674194}, \
{1.7210269682485393, 
    0.3542801430305005}, {2.2128572655601215, -1.45281713887187}, \
{-1.5563376906582462, -0.35411150921085444}, {-0.24007348245601445, 
    0.1294397992418812}, {2.148269023589599, 
    1.170246193770355}, {0.13959573661048824, -1.3729687760383982}, \
{0.26061927242950716, -2.9596457661478794}, {1.963153909554312, 
    1.287666129348663}, {2.798269876184731, 
    2.5010541395072217}, {0.5172066443221757, -2.040380744591298}, \
{-0.23659784585648436, -2.8889983160668304}, {0.8541145031897636, \
-3.7887634942155035}, {3.1247659312096783, -0.4287113397188316}, \
{3.1860065574433794, -0.9735740476977428}, {2.642192206692941, \
-0.78161370167774}, {-1.0766072446766093, -0.5321033082349089}, \
{-0.625226588918353, 
    0.3844306055364122}, {0.9065814617474505, -1.6515252529518296}, \
{0.8106065730846662, 1.1915004685044206}, {3.6762131938147893, 
    1.1294614418595534}, {0.9761799319466219, -3.242044585049058}, \
{-0.9280854823890619, -3.7527262786812168}, {2.286789983747547, \
-0.050607269503881724}};

While performing

 ld = LearnDistribution[DSet, PerformanceGoal -> "DirectTraining", 
   Method -> {"KernelDensityEstimation", "KernelType" -> "Ball", 
     Method -> "Adaptive"}, TrainingProgressReporting -> "Panel"];  
Information[ld]

the Information generates errors:

Values::invrl: The argument Missing[KeyAbsent,Experiments] is not a valid Association or a list of rules. *Values::invrl: The argument Missing[KeyAbsent,Experiments] is not a valid Association or a list of rules. ListPlot::prng: Value of option PlotRange -> {{Automatic,Missing[KeyAbsent,MaxTrainingSize]},Automatic} is not All, Full, Automatic, a positive machine number, or an appropriate list of range specifications. Values::invrl: The argument Missing[KeyAbsent,Experiments] is not a valid Association or a list of rules.* *General::stop: Further output of Values::invrl will be suppressed during this calculation. ListPlot::prng: Value of option PlotRange -> {{Automatic,Missing[KeyAbsent,MaxTrainingSize]},Automatic} is not All, Full, Automatic, a positive machine number, or an appropriate list of range specifications.*

and Distribution information panel doesn't have the learning curve:

If PerformanceGoal option is omitted, all works smoothly.