How to create multiple course types

This isn't supported - courses are group bundles, the only way to support it would be to allow any group bundle to be used as a course.

However:

because different course types require different set of roles and permissions.

Why not have multiple roles for courses/classes, and then selectively add users to different roles?

the only way to support it would be to allow any group bundle to be used as a course.

Yes, exactly. this is the ultimate and best solution.

Why not have multiple roles for courses/classes, and then selectively add users to different roles?

For small companies and enterprises it's possible to add them manually to courses. but imagine an enterprise with more that 1000 employees in different sectors and managers want to implement an LMS for ongoing teaching of their employees. In this case you need courses to be in different types and allow different roles to enroll. For example, Finance department should only be allowed to join courses of type "Finance department"

For this to happen you need different group types with different group roles and permissions.

For example, Finance department should only be allowed to join courses of type "Finance department"

This sounds like custom 'join' access logic, rather than requiring different course bundles. If the courses otherwise have the same fields, then a bundle for every role is overkill.

For example it's something that could be achieved by handling classes differently instead of courses. Instead of a class-per-course, a class per 'role' and, the classes are added to the various courses. Or some entity access logic matching a field on courses to a field on users.