Have you seen help page to this lesson? https://www.duolingo.com/skill/he/Letters-2/tips-and-notes You can open help on every lesson if open it in the browses.
zeh (זה) is used with masculine nouns: bread (לחם), a boy (ילד), a man (גבר). zot (זאת) is used with feminine nouns: a woman (אישה), a girl (ילדה), a cake (עוגה). That is the point. In Hebrew all adjectives have both a masculine and a feminine form, "THIS" (זה, זאת) is not an exception.
Great explanation and I am somewhat familiar. However, isn't there a way or a shortcut rather to know when a word or every noun is masculine or feminine? Will I, as a native English speaker, come to learn the latter by the mere ending of the word or last letter in the noun somewhat resembling (at least conceptually) masc. & feminine verbs? Furthermore, hypothetically, what if one endeavors to learn new vocab words daily. How will they come to know if this new word is masc. או feminine?