Cymru is a proper noun, so it is already definite. That makes the phrase Senedd Cymru definite as well, so there is no need for a definite article.
See the course notes for 'Countries' - https://www.duolingo.com/skill/cy/Gwledydd/tips-and-notes
To see how to find the course notes generally, go to https://forum.duolingo.com/topic/924/hot and read the discussion 'Course tips and notes'. The 'duome' link there is useful for browsing all the notes in one place. We recommend reading the notes for each new section as you start it.