O tutorial está errado.
POSIX diz:
A single-quote cannot occur within single-quotes.
Veja algumas alternativas:
echo $'It\'s Shell Programming' # ksh, bash, and zsh only, does not expand variables
echo "It's Shell Programming" # all shells, expands variables
echo 'It'\''s Shell Programming' # all shells, single quote is outside the quotes
echo 'It'"'"'s Shell Programming' # all shells, single quote is inside double quotes
Outras leituras: Citações - Wiki de Greg