Translation:There are no penguins at the North Pole.
I'm a native English speaker and "in the North Pole" sounds strange to me :)
It seems that Duo's database has been variously edited by people with differing opinions on the matter, leading to some inconsistency around such borderline cases. I can't guarantee that it'll ever be 100% consistent, but reporting it does help.
"In the Arctic" would be correct. "In the North Pole" is not.
"At the North Pole" is correct and "At the Arctic" is not.
That is because the Arctic is a region. There is not really a pole at the North Pole but imagine there is. You would say, "I am at the pole" or I am near the pole". "You would not say, "I am in the pole."