There's something intuitive about that, but I think the data show the opposite. We all learn the same way.
https://www.psychologicalscience.org/news/releases/learning-...
In my experience, a lot of learning is a back and forth between rote memorization (like vocabulary) and building concepts/associations. Rote memorization can also be a lookup table to focus on higher-level concepts--like memorizing your times tables. Spaced repetition (like Anki) focuses on rote memorization. Lectures and note taking, like this, are a mix focusing on concept building while homework is both generally focusing more on rote memorization.
But there is some difference person-to-person. For example, many people I know work through things by talking out loud. I struggle with this and feel like I have to ruminate on my own to flesh out ideas.
The actual conclusion, straight from the source you linked:
"But psychological research has not found that people learn differently, at least not in the ways learning-styles proponents claim."
With typical lecture structure, you get a little review tying in the last subject(s), a little bookkeeping/admin (next week we will...) and then a new topic or topics, followed by some synthesis.
If you've had a quick look at the new topic already, you'll know where your understanding is good and where it isn't. You can pay attention to the right bits, and ask questions if needed.
Review afterward is very useful, but probably more topic-by-topic not lecture-by-lecture. After the lecture you add that material to your ongoing review.
As you point out, asking questions is useful, and trying to answer them yourself first is even more so. One student classification researchers have identified is rule vs example learners. Rule based learners seek out rules to learn something, while example learners typically try to memorize examples. Rule based learners tend to do better in scholarly tasks / exams. However, example based learners can be taught to be more like rule based learners with a few hacks: prompt them to compare different examples, instead of reviewing one example at a time, inserting questions into the marginalia / chapter headers, etc.