"The students talk in Korean."
Translation:학생들이 한국어로 이야기합니다.
Have a look at the Tips & Notes, under Speaking a Language in the middle right: https://www.duolingo.com/skill/ko/regular-verbs/tips-and-notes
that particle 를 is attached to the end of the word that is the object of a sentence. It is not related to the meaning of 으로 / 로 which is one of the ways of saying "towards" or "to" as in the direction of something. See Duolingo website for tips and notes of Basics 1, Basics 2, and Verbs.
한국어로 is "in Korean" (in the Korean language, or by using Korean).
한국어 is "Korean Language" and when it's the object in a sentence, we add the object particle 를 to make 한국어를.
한글 is the written Korean language.
What I didn't remember above, I looked up.
There are differences, too, when you compare North Korea and South Korea. But, I don't know those yet.