So I agree with the above poster that the PEP makes no sense here.
The common definitions of complex and complicated are that they're synonymous, there is no strong or fundamental distinction between them in the way you're trying to suggest. That's the main problem with the PEP statement. Trying to assert there's a difference is likely to result in miscommunication, this uni course and the PEP authors are both making the same mistake.
adjective 1. composed of elaborately interconnected parts; complex: complicated apparatus for measuring brain functions.
http://www.dictionary.com/browse/complicated
https://en.m.wiktionary.org/wiki/complex
https://en.m.wiktionary.org/wiki/complicated
https://www.merriam-webster.com/dictionary/complex
https://www.merriam-webster.com/dictionary/complicated
https://dictionary.cambridge.org/us/dictionary/english/compl...
https://dictionary.cambridge.org/us/dictionary/english/compl...
Complex and complicated are, according to the dictionary, basically synonymous, and they mean something intricate or tricky that is composed of many interconnected parts.
I think the PEP authors were trying to say it's better for a piece of code to be clever and tricky to avoid complicated interactions with other code, if that's your only choice. I think they're trying to suggest complexity at a small scale is better than complexity at a large scale. But I'm just guessing, and I do think it could be better stated with two words that aren't synonymous.