"She affirms that she did not drink wine."
Translation:Ella afirma que no bebió vino.
Think about it this way. Since lo afirma is "affirms it," that means that if you used lo, you basically said "She affirmed it that she didn't drink wine." Maybe that's a construct you would use in your particular English dialect (I could imagine it falling out of my mouth that way), but not acceptable to Duolingo in its strict word-for-word translations.