"Vou à piscina."
Tradução:Vado in piscina.
It depends on what you mean.
For example: if you say to a friend of yours that you go the swimming pool, you have to use "vado IN piscina", or also when you mean that you're going to enter the water of the pool.
If on the other hand you are in a water park, and a friend of yours asks you where are you going, and you mean that you are going in the place where the pool is, and you don't mean that you're going to swim, you have to use "vado ALLA piscina".
Sorry for the long explanation, I hope that it is clear (:. Duolingo in English, VADO ALLA PISCINA, está correto.