"This is sad."
You would only say זאת when you mean something specific that has a female grammatical gender, "this one is sad". If you are referring to a general situation, "this is sad", you would only say זה עצוב.
because atzuvah should be applied to a female. as a general expression it's tze atzuv
Is there any way duolingo will implement listening to correct answers when you have them wrong. This course is one of the worst ones. They start right of the bat with words in a new script without sound. Memrise does does a much better job if you ask me.