"Đây là một kết luận sai."

I do not know why, but "a wrong conclusion" sounds odd to me. "The wrong conclusion" or "an incorrect solution" both sound perfectly fine.

I agree with James T. Wilson. A sounds strange.

I think it's because we already know the conclusion you are referring to, so it changes from 'a' (one of many) to that one we are talking about therefore 'the' is justified.

"This is a false conclusion" works as well.