sometimes you just have to shrug, and carry on ... 'at the side of' WRONG, 'to the side of' CORRECT. They might speak excellent Spanish but sometimes their English is suspect :-)
I tried "the bank is next to the hotel" as well. It was rejected, but I know I have used that description many times in many places.
I tried this one on Google Translate with...close to, beside, next to,...and the only one that they said matched up with DL answer was 'to the side of' and DL marked me as wrong. So, and this is what bugs me sometimes, is that enen though I think they are wrong, you won't move forward unless you agree with them. This is what I find the most frustrating about DL, agreeing when they are wrong.