This exercise doesn't seem right. In context, I'd use Plaid Cymru, but when asked what it means, as in this exercise, I'd translate it. If an Englishman asks what Plaid Cymru means, just replying "Plaid Cymru" strikes me as rude and likely to reinforce any preexisting beliefs that Welsh speakers are exclusive, whereas I receive nothing but encouragement in my efforts to learn. Knowing what Plaid Cymru means in English is helpful.
I live in Wales. If someone asked me what Plaid Cymru meant I would tell them it's a political party in Wales. If someone asked me what Conservative party meant I would explain that it is a political party in the UK. I wouldn't provide a translation or an explanation. They are both names. Names shouldn't be translated into a different language. If my name was David, I wouldn't change it because I am speaking Welsh, same as I don't believe there should be Welsh translations of the names of cities, towns or countries outside of Wales. We should all respect each country and use the names they use.