I think the accepted answers are both okay, although they would be better with a comma i.e. 'Compared to it, Africa is cold'. With your sentence, you have switched the places around - you are saying that 'place X' is cold compared to Africa, the original sentence says that Africa is cold compared to 'place X'.
•Compared to it Africa is cold. •Compared with that Africa is cold.
Above are the accepted answers, of which the first does not seem at all correct in English. My answer was : Compared to Africa, it is cold - yet this was unaccepted. Is this Duolingo being, um, troublesome again?
The meaning of the sentence is that the place/thing in question is so hot that it makes Africa (a typically hot continent) feel cold. Your sentence "Compared to Africa, it is cold" reads the other way around. It makes it seem that the place/thing in question is cold when compared to Africa. For example, the Duo sentence could read like "Compared with the sun, Africa is cold." Your sentence - "Compared to Africa, Canada is cold". Hope that helps somewhat!
*Edit: gewisse beat me to it by 2 minutes