Paul, 

‘ La dernière fois ‘ is a special case as noted in the linked lesson. When followed by a relative clause only ‘ la dernière fois ‘ can be used. 

Although the English sentence can omit ‘ that ‘,  in French ‘ que ‘ cannot be omitted and therefore the translation commences  ‘ La dernière fois qu’il est venu …..’  ie there is a relative clause following ‘ la dernière fois ‘.  

As the expression ‘ la dernière fois ‘ can be used in all applicable circumstances, whereas ‘ la fois dernière ‘ is restricted, it is a safer bet for non-native speakers to use ‘ la dernière fois ’ , at least to start with. 

Have another look under section 3 of the lesson linked :

 Dernier = final/previous (French Adjectives that change meaning according to position)