But understanding is just one part of the learning process, isn't it? I assume everybody has had this feeling: the professor explains maths on the blackboard, and the student follows. The students "understands" all the steps: they make sense, they don't feel like asking a question right now. Then the professor gives them an exercise slightly different and asks to do the same, and the students are completely lost.

Learning is a loop: you need to accept it, get it in your memory (learn stuff by heart, be it just the vocabulary to express the concepts), understand it, then try to do it yourself. Realise that you missed many things in the process, and start at the beginning: learn new things by heart, understand more, try it again.