"Student" is a social role. Social roles (house wife, parent, etc.) don't need the "una".
This rule covers more than just "professions". Here are references that explain:
see also my comment below.
"un" and "una" are usually omitted when talking about a job or occupation in Spanish. This is something Duolingo explains further along in the course in "People 3".
It is not really wrong to include the article, it is just usually omitted, and I imagine Duolingo is trying to get this across.
There is almost certainly a reason, but as I am not a linguist I could not say. I doubt this rule was formed by a board of directors or something, as you do add an article if the profession is modified by an adjective, and that kind of inconsistent rule is more reminiscent of natural language progression.
You form italics by placing an asterisk (*) before and after whatever you want to italicize. If you want to bold text you double that amount, so there are two on either side of the text.