Lui is the indirect object, while le is the direct object. You use lui here because something is being told to him. In English, we don't use the structure "I tell to him," but it is still understood that he is the indirect object. For example, "je le jette" would mean "I throw him," as in he is the thing that I am actually throwing. "Je lui jette" would mean "I throw to him," as in I am throwing something to him.
Would this be used as an exclamation? Sometimes when people argue, some third party will butt in out of excitement and say "Yeah! You tell him!"
'To speak' is 'parler'. Even in English there's a difference between speaking to someone and telling someone.
It came up that ' you are saying him' is the correct answer. It makes no sense to me.