Well, the sentence is "there is a horse on the bridge", not "the horse is on the bridge". They are different sentences. If you wanted to say the latter, you'd say "loshad' na mostu" (лошадь на мосту). Word order matters.
For example, say you're driving up to a bridge in a car, and you stop abruptly. Your friend in the passenger seat asks "Why did you stop?!" and you'd reply ... "Na mostu loshad’", not "loshad' na mostu". Hopefully this makes some sense!
Bascially there are about 150 nouns with a unique locative ending that is different from prepositional. They are all masculine, mostly single syllable.
https://en.wiktionary.org/wiki/Category:Russian_nouns_with_locative We use this ending with prepositions на/в when we want to answer the question где? Use the normal prepositional endings for these nouns if you want to say "about" о/об .... and of course we use на/в with accusative if you want to indicate direction/movement towards, to answer the question куда? (where to).
All of this is explained in the duolingo lesson notes, or on wiktionary or youtube. It is hopeless to try and understand these grammar rules from duolingo alone, better to study the grammar first and then use these questions to reinforce your knowledge. Hope that helps.