"Your daughters live in Rome."
Translation:Filiae tuae Romae habitant.
It's because of the locative case in Latin! Prepositions like "in" are not used for cities and small islands. If a city's name ends with "-us" or "-um," the lovative will end in "-i" ex: Corinthus --> Corinthi If a citys name ends in "-a," the locative ends in "-ae" ex: roma --> romae If a citys name ends in "-i" or "-ae," the locative ends in "-is" ex: delphi --> delphis or athenae --> athenis Those are the basics! But countries like Germania or America or Italia are "too big" for the locative per se and require a preposition "in"
I don't think there's anything wrong with that syntax, although I'm not sure how common that was either. It's likely the course contributors just neglected to add that option to the answer database. Next time it marks you wrong (and you double-check that you had no typos or extra spaces), flag it and report "My answer should be accepted."
Multae filiae means "many daughters", but that is not what the original sentence says. "Many daughters" is very different from "your daughters" (filiae tuae). Even multae filiae tuae (your many daughters) would be very different, because it stresses that you have a lot of daughters.