I just looked up orthodoxy and the third definition was "the whole community of Orthodox Jews or Orthodox Christians." I have never heard this definition, and it is not widely used.
Look up orthodoxy on Wikipedia and you will see that it is not used in this way.
Orthodoxy actually means "authorized or generally accepted theory, doctrine, or practice" (not necessarily about religion) or "the quality of conforming to orthodox theories, doctrines, or practices" (about religion).
Duolingo should not be teaching obscure terminology. This should be "Orthodox Christianity in Russia." It was marked wrong.