Gah! At what point in the course does the transliteration stop?
Upper left. See the Аа button? Click it. It will read Яя and everything will turn into Cyrillic!
I reckon it's because they couldn't use A and it's a letter that a lot of people would easily recognise as Cyrillic.
I know, I don't want to do transliteration - that's why I want to turn it off. I actually went to college for Russian +10 years ago, so I'm using Duo as a way to brush up on all the skills I've lost along the way.