"művész úr/nő" is a polite way of addressing an artist. "female artist" is not like that, it implies that for some reason there was a need for you to express that the artist is female. There's no need to say that in this case. It would be more like "Mr/Ms Artist" like "Mr. President" :D A way to give respect.
Then how it is with the backtranslation? English to hungarian... I have to know, is the artist a man or a woman.
For the purposes of this course it's fine to use either option, múvésznő or művész. The latter accounts for both genders, so in doubt you can use that.
You don't need to know (unless that's the only correct answer in Duolingo). művész will do.
It's confusing that in this case, "female artist" was marked as wrong, while in another lesson I went with "artists", and Duolingo marked it as wrong, correcting it to "female artists"! (it was plural, but still, the same thing)