So in your relationships, I think one is wrong
I also like to write out both halves so that you remember to create both
Course hasMany Class / Class belongsTo Course
Class hasMany Completion / Completion belongsTo Course
Completion belongsTo Employee / Employee hasMany Completion
So, conventionally, all your models are Singular and capitalised (as above)
Your relationships are singular for belongsTo and plural for hasMany
Using the above, your query would be
$courses = Course::with('classes.completions.employee')->get();
then you have all courses with nested data for classes, completions and the employee