I guess it's the same reason you write "Sunday" with a capital letter and "domenica" without one. It's like in Italian the weekdays are just words, and in English they're "names", and therefore don't require a definitive (=the)
It sounds like "Il lune di segue la domenica", because in the word "lunedì" the stress should be on the last syllable.
I seem to get away with a lot when I am asked to speak it into the microphone ... including several times I've spoken in English by accident and duo accepted it! (note: I am actually quite impressed that they can do it at all, and grateful for that functionality ;-)
Conversely, this exercise is good for me because it forces me to speak it at a reasonable speed, and duo's software is good about marking it wrong when I slow down or stumble.