Still being a relative noob, I can say that I have seen similar issues with LDS's, each with varying degrees (as we all have). The thing that I have seen contributing to this the most is the acceptance of the internet. The shops that I have worked with that oppose the internet or refuse to take any part of it are the ones who seem to challenge the idea that you shop around or buy from other shops (LDS or online). The shops that embrace it are the LDS's that have either accepted it and chose to work with it or, more importantly, use the internet as an additional source of revenue to contribute to their bottom line. All of the shops have some sort of web page, but you can tell by the quality of their site, generally speaking, whether or not they accept it or fear it.
In this case, it is a tough spot to be in, but I have to say I agree with all of the others when I say that I don't know that you did anything wrong. Especially when you put the whole picture together. If he was being fair are reasonable from the beginning, I don't know that you would have felt the need to go somewhere else, but a 300% + markup is grounds for anyone to shop around. As for taking the class, it is the instructor that will make the difference. I would speak with the instructor as opposed to the owner/operator (hopefully they aren't one in the same). As long as you are comfortable with the instructor, there isn't any reason why you shouldn't take the class through the LDS. More importantly, I don't see why the instructor would turn you down regardless, that is just taking money out of his/her pocket.