How can "This is the wrong direction." (which is given as Another correct solution) be the same as "This direction is wrong" (which is accepted)? The structure is very different and the emphasis shifts from one word to another slightly changing the meaning. I think only the latter should be correct as a translation of "Η κατεύθυνση αυτή είναι λάθος." as "This is the wrong direction."="Αυτή είναι η λάθος κατεύθυνση".
"This direction is wrong" is dubious as idiomatic English - it's difficult to imagine a context where it is the natural phrasing. "This is the wrong direction" is what an English speaker would very likely say in this context, and I think Duo is right to accept this and not insist on overly literal translation.
Κατεύθυνση means "direction" only, διεύθυνση can mean "address" or "direction" in everyday speech. In physics, κατεύθυνση consists of two things: διεύθυνση meaning the line on which a body moves and φορά that is where the moving body faces. So, in physics we may have the same διεύθυνση but not the same κατεύθυνση is we are facing opposite sides. But in everyday speech, that distinction is not made, of course.