The name of the letter D in English is "dee", and the name of the letter Δ in Greek is "δέλτα" - the only difference seemingly being that Greeks write out the letter names in full sometimes, where we don't do that that much.
I'm confused, maybe someone can help me. In this exercise I hear the letter "δ" as a "d", like in "dad", but previously I heard it like a "z" or a "th". This is for a reason? The word was δαδα and it sounded like zaza.
It is 'th' as in this.
Check the Tips and notes section under the lessons (available on the full website only, not the app), you will find lots of information there to help you progress in the course. And welcome to Duolingo and the Greek course!