Did Sai Baba give formal lectures on the Upanishads or other complex philosophical texts to his followers?

No, the source material indicates the opposite. According to Chapter 0, Maharaj 'did not openly explain profound Vedanta subjects or give discourses on Upanishads.' His advice was primarily ethical. The text explains that this was a deliberate method, comparing it to a Sadguru's practice of first purifying a disciple's ground before sowing the seed of knowledge. Therefore, his open, verbal advice consisted of general ethical principles, with more profound lessons being imparted through direct experience for those with faith.