In Greek in most cases you need to use the definite article so that's why there is the use of "το" (note μήλο is neuter). Now αυτό is used in order to say "this", it could be skipped and the sentence would still make sense but it would mean "We have the apple". Keep in mind that if the gender of the word was masculine you would use αυτός ο and αυτή η for feminine
This sentence seems odd to me. But English isn't my first language either. I do understand that it is correct, but is it "common" to say such a phrase? If yes in English or Greek? Or is it just a sentence made for training purpose? If so it might be considered taking a more natural sentence.
Just for training, I guess. It would be natural, however, if it was, for example, a narrative; what if the apple being referred in the story was special in some way, such as having magical properties? Then it would be fine to say, "We have this apple." Another example: what if a beggar asks a household, "Do you have any food you could offer me?" Then the other person might say, "We have nothing. Oh, wait -- we have this apple." It's meant to emphasize the existence of the apple, and that the person can give it to the beggar.