In this question in particular, "Αυτός ο άντρας" sounds much more natural, yes. Using αυτός/αυτή/αυτό/... after the noun in the middle of a sentence is not incorrect but it really only sounds natural in some cases, and it is much less formal.
However, sentences where αυτός/αυτή/αυτό/... come at the end (not in the middle) almost always natural, i.e., "Ποιανού είναι ο καφές αυτός;"
I think it's generally safer to just use the syntax "Αυτός ο ..." at the beginning of sentences/middle until you have a very firm grasp of the language.
I'm unsure why Duolingo chose to phrase it this way, maybe for exposure. "This man runs on the coast" is a pretty strange sentence you would probably never hear in English though too.