maybe it is just my lack of familiarity with spoken Greek, thank you for answering
That could be and also this is a computer generated voice. But I believe in time you will become much more accustomed to spoken Greek. Try to listen several times to each sentence so the sound sinks in. That's what I did with Italian and I believe it helped me. This site has a lot of information and a good podcast by the Hellenic American Union. here
I put 'they went together' and was marked wrong. In Greek, can you leave out the 'όλοι' and just say 'Αυτοί πήγαν μαζί'?
Yes ,you can. But αυτοί πήγαν μαζί=they went together, αυτοί πήγαν όλοι μαζί=they went all together.
I'm a little lost not seeing any way to figure out what is the corresponding present tense or infinitive for this verb, throughout this lesson.
This is found in the Past Tense skill and the Tips notes have a good description of how to conjugate the verb. For present tense, you might like to consult one of the resources here, https://www.duolingo.com/comment/22040507
Here is a good source: http://moderngreekverbs.com/pigaino/ Greek does not have infinitives but rather uses the first person singular present tense. Here it's πηγαίνω.
This verb was presented in the Verb Present 1 skill Lesson 1 and the Tips & notes give an explanation of how to conjugate it in the present.
Yes, but if you are asked..."How did they go individually or all together? Then the most natural reply would be ..."They went all together", which actually sounds much more idiomatic to me.