"There are no risks."
अनुवाद:कोई क्षतिमय नहीं हैं।
You both are right. Here duolingo has a mistake. The translation of 'There are no risks' should be ' कोई क्षतिभय/हानिभय नहीं है।'. Here, 'क्षतिमय' is wrong.
'क्षतिमय' means 'Full of harms/risks'. 'मय' is used in Hindi when something is full of that relevant thing.