A final -f is often only lightly pronounced or even dropped. I don't think that varies much with dialect.
The sounds of dd and f are quite different. The pri- and pry- in pridd, pryf, prif are the same in several dialects, but the y in pryf has a darker sound as you go further north.
It does depend on dialect. Notherners tend to drop almost all instances of final f whereas southerners tend only to do it with words of more than one syllable. Southerners say araf "slow" too instead of nothern ara. Irregular short-form future inflected 1st person singular verbs often lose their final f all over the country: a' i "I'll go", ga' i "I'll have", wna' i "I'll do" although some southern dialects prefer af i, gaf i, wnaf i even then.
I have heard it explained as a sound which comes from little further back in the mouth. The obvious example in Welsh is the varying pronunciation of u, which 'darkens' as you go further north. /l/ also darkens a little.
Compare the two voices used on the pronunciation videos recommended for this course - https://www.duolingo.com/comment/13199969 http://youtu.be/Gb8Bps3bG84 At a guess, the man comes from around the Llanelli/Carmarthen area of S/SW Wales and the woman perhaps from somewhere near Bangor in NW Wales - this is apparent in their English accents as well as in their Welsh, with hers being generally 'darker' and his 'lighter' in both languages.
While you are learning, it is probably worth going through those videos once a week or so.
To my ear, it is definitely saying pryf, but it can often be difficult for someone new to the language to hear the difference between the -dd and -f at the ends of words. (It can be even more difficult if your hearing is not 100%, too!)
Hearing a word out of context also makes it harder.
And of course, the computer voice is not perfect. If you go to www.gweiadur.com you can probably find both pryf (insect) and pridd (spelt with an -i-, note, not a -y-) (earth, soil) and click on the little blue loudspeaker icon next to each word to hear a natural voice recording of each of them.