When you're doing exercises, after your answer there appears a button "Report a problem" in the left lower corner. If you click on it, you can either tick your particular problem or write the problem in your own words. The developers of the course will receive your message anyway. :)
The only time you see the prepositional case is with the words в(о), на, о(бо), and при, and some of these prepositions can require other cases with other meanings.
Also, nouns ending in double vowels (-ия in Россия) and feminine nouns ending in -ь (Сибирь) end in и in the prepositional case (России/Сибири). All other words end in -е in prepositional.
It is incorrect because of the word "of" . The preposition "near" in English is typically used alone, though it can also be used with "to" (near to). So you could say "Ukraine is near Russia" or you could say "Ukraine is near to Russia", though the latter would definitely be less common.