B is the dominant of E (major or minor) and is therefore a very acceptable chord in an Em-based song. And the progression Em - C - Am - B is a minor variation of perhaps the most cliched progression in popular music (but it was only cliched because it was useful!)
DOES the track play B or Bm? Perhaps it's just a misprint.
Is 'Use E minor scale and harmonic minor on B to jam along with it' EXACTLY what the instructions say? 'harmonic minor on B' is a strange way of saying 'B harmonic minor'.fits
What's the source? An established textbook (not that they never have errors :-)) or something you found 'on the Internet'?
Anyway, I wouldn't worry too much about it. You're right, as stated it doesn't add up.
Finding one scale that fits ALL the chords in a sequence can be a useful trick - though I'd rather you found one melodic 'lick' (quite likely a subset common to several scales) instead. And, of course, there often ISN'T one.