Because in English, countable nouns such as "café" can usually not stand alone without some sort of determiner in front of them ("a, the, his, that, ...").
If you are thinking of something like "at school", that's an exception rather than the rule (and even there, English speakers disagree on things such as "in hospital" - more common in the UK - vs. "in the hospital" - more common in the US).
I also do this kind of mistake like you....because there is no a word like"un" in Esperanto.
Does this have to mean 'in the cafe'? I've tried 'at the cafe' and duolingo rejects it; Is there a really a difference in esparanto?
I translated it as, They are at Cafe. Why isn't there a word /letter for A in it?
Different languages work differently.
English has a definite article (the) and an indefinite article (a, an).
Esperanto has a definite article (la) but not indefinite article.
Russian has no articles at all, neither definite nor indefinite.
So when translating from Esperanto (or Russian) into English, you may need to add articles in places where English requires them but the source language does not.