What's exactly the difference between kde and kam ?
Kde: Interrogative where without movement.
Kam: Interrogative where with movement towards.
— Kde jsi a kam jdeš? (“Where are you and where are you going to?”)
The third particle of interest is odkud (od + kde), used in the question “where from”:
— Odkud přijdeš, kde jsi a kam půjdeš? (“Where are you arriving from, where are you and where will you go to?”)
Is "Kam jdeš, Františku?" also correct?
Yes it is correct but not the same.
In Czech (as is explained in one of the lessons) verbs of movement contain information about how the movement is taking place (in English, verbs of movement usually emphasise direction instead).
In your example, you are using the verb jít, whereas the course uses jet. The former means going (or coming) on foot, the latter means going (or coming) using a means of ground transportation, such as a car, a horse or a bicycle.
And now my own question: if good old František is wheelchair-bound, jde nebo jede?