Straight on or straight ahead should be accepted here. To say he 'goes straight' might mean he no longer commits crimes!
i believe since this chapter is about directions the man is going straight ahead but it can obviously have a more metaphorical meaning in more advanced levels
And if you want to use the usual English phrase " the man goes straight ahead" how would you say it?
Straight ahead and straight on are indeed the same thing - "The man goes straight on" is still marked as wrong, and this should be changed.