Is this preferred to saying "câu trả lời của bạn là sai" or something to that effect?
"câu trả lời của bạn là sai" => your sentence is perfectly natural. In fact, this Duolingo sentence is a bit "foreign" to native speakers of Vietnamese.
This sentence is odd in english too. One would say, that answer is wrong or that is the wrong answer, or your answer is wrong.
If somebody said to me, "You have a wrong answer" I'd say, "Well, thank you for your helpful and insightful input. Which particular wrong answer are you referring to?" as sarcasticaly as possible.
It could also be an exam or test situation. Answering questions in an exam, a student could say this sentence to a fellow student in a low voice so that the teacher doesn't notice.