What was the third lesson for Rey?
There wasn't one in The Last Jedi.
no third lesson is taught - unless, of course, the third lesson is to demonstrate the second (i.e. Luke fails to teach a third lesson).
While this very literal reading is accurate, it is worth keeping in mind that Luke was not teaching Rey "how to become a Jedi." Specifically, Luke states:
"I will teach you the ways of the Jedi, and why they need to end."
Luke was teaching Rey about the Force. It could be argued that as a third lesson his appearance on Crait was a demonstration of how a Jedi uses the Force to maintain balance. Luke did not destroy Kylo Ren and his army, nor rescue the Rebels, he merely bought the Rebels time while continuing to reach out to and teach his former and failed student.
There was a scene in which a third lesson was taught, however, this scene was deleted for the theatrical release. Luke intentionally misleads Rey into thinking a village on Ahch-To is under attack.
The gist of the lesson would have been that:
a true Jedi Knight would ... only act to maintain balance, even when people get hurt.