Does every computational problem have a decision version?
Here is a "counterexample": sorting. The natural decision version of sorting is deciding whether a given array is sorted. Another natural decision version is given an array and a permutation, decide whether the permutation correctly records the sorted order of the array. In both cases, the "decision versions" can be solved in linear time, while sorting itself (in most models) requires loglinear time.

Here is another "counterexample": consensus. This is a classical problem in distributed computing. I'm not sure it has a "decision version".

The claim you are stating is not a mathematical claim; it's just a comment whose goal is to explain why in introductory classes we only consider decision problems. There are three reasons: First, decision problems can be used to analyze many other types of computational problems (though not all of them). Second, it has become conventional to consider only decision problems (for example P and NP are classes of decision problems). Third, introductory classes are introductory, and so their scope is limited.

In order to make the claim a mathematical claim (and so, potentially, right or wrong), you will need to define all the concepts involved; there might be several ways of doing it, resulting in different interpretations of the claim. Some interpretations will result in valid statements: for example, optimization problems have canonical decision problems, and to some extent the two kinds of problems are equivalent in complexity. Other interpretations might be more problematic, for example if they encompass my first counterexample. Another source of difficulty is computational problems like my second counterexample to which this entire paradigm seems inapplicable.

Lecturers often make such comments, and these are supposed to be helpful for you as a student. If you find one of these comments confusing, I think it's best to just ignore it. If you have access to the professor, you can discuss the matter with them, but otherwise just drop the matter.