"Ninafikiri kwamba atakuja"
Translation:I think that he will come
It's like "that". Not "that" as in "that thing" or "that person", but "that" + statement.
That is optional in the English version of this sentence. I think he will come and I think that he will come mean the same thing. It's something we deal with in teaching English to Spanish speakers, since the que is obligatory in Spanish.
As a native English speaker, I disagree: certainly not "unnatural," much less "very unnatural." Gazelle1596's "less common," sure, I'll buy that.
"I'm thinking" sounds to me like Kenyan English rather than English English here.
What about "I think he's coming" (marked wrong)?
Although the present continuous tense can indicate the future in English, they use only the future tense in this course. I suppose it makes it clear that you have recognized the future tense in the question.