That's what we have learned in previous lessons and what is taught in Goossen's Diné Bizaad textbook. You need a pronoun + the -ee suffix followed hólǫ́.
I have not finished Goossen's book so I do not know if he includes other ways of expressing this kind of possession, like a different construction when using numbered objects like in this sentence, but this seems to be the proper way taught by Goossen and other resources.
I do not think so. Shee/nee/bee/nihee (with me/with you/with him her/with us or you all) should be followed by hólǫ́ (to exist) and put after the subject and object.
Shizheʼé dibé bee hólǫ́ -- My father sheep with him exist
I do not know why this construction is changed in the answer that the course gives us, unless the fact that sheep is now numbered changes the word order. I will have to look into that.