"Žofie does not know what to think."
Translation:Žofie neví, co si myslet.
That would only make sense with "myslet si", not just "myslet". You do not "myslet" something, You "myslet si" something.
If you use a direct object, you need "myslet si". You can use "myslet" with a subordinate clause or with the "na" preposition (think about something).
This just repeats the same in other words, but that is really all there is about it. Those four examples in my previous comments are the possible combinations.