Why is що in this sentence?
It's optional same as "that" in English. Do you think (that) they are there? Ви думаєте, (що) вони там?
The problem was that the English sentence had two defaults, with and without "that", while the Ukrainian one has only one default, with що. Fixed it, thanks :)
I thought it meant "what"?
Yes, it means both. It's a question word ("what?") and a "connector" for sentences ("that")
що = that
Why is "ти думаєш" not accepted?
"там вони" couldn't have been accepted ?
No, it's weird. When stating "X is there", we say "X" first, and then the location.
Why not "Ви думаєте, що вони є там?"