Well, the title describes the issue.
I've uploaded my first course and came across the situation, when it was purchased then refunded, and now I'm finding my course all over the web being re-sold by someone.
Content on the internet cannot be fully protected from theft - that's a fact. Talking about your video lectures on Udemy, You can do:
1. Watermark your videos
2. Add talking head part in each video
3. Keep a check on the internet to see if your video lectures are available anywhere else to download freely, or in someone else's name. If found, report it.
I have the same issue, just found out that my courses (and many of other udemy courses) are being published for free on this web site.
I published this course last month, one person bought the course and few hours later made a refund... now it is on that website, actually it was published in the same day of the first purchase. If people "watch" the entire content of a course, they shouldn't be able to ask for refunds. You don't go to a restaurant, buy the food, eat the food and then ask for a refund.