Good question. It's called epenthesis. Here's an article that explains it a little: http://www.akerbeltz.org/index.php?title=Svarabhakti_or_The_Helping_Vowel
This is not correct. Duolingo has a deliberate - and necessary - policy of introducing grammar bit by bit. So they introduce aig with examples where the following words do not change, and then later introduce more complicated examples. I am not going to go against this by trying to explain more advanced grammar the now but it is in fact anns a' mhargadh.
In addition, ann is never 'in'. You use an, or, more commonly, ann an.
Ann by itself means something completely different that you will learn in a different section.
And yes this is confusing, and yes this confuses a lot of people, but it's actually fairly easy once it's been pointed out.
It sounds fine to me. It is clear and not too fast. We have to get used to natural Gaelic spoken at normal speed and I think this is a good example. If by inflection you mean that he is putting more stress on the accented syllables than you are used to then note that this is a normal feature of Gaelic - it is more heavily stress-accented than English, and maybe some of the other speakers, who have been speak–ing slow–ly and care–full–y have failed to show this.
A further point is that in some languages, consonants tend to attach to the previous vowel, and in some they tend to attach to the following vowel, regardless of where they belong. Gaelic is very much in the latter camp, so he said (correctly) * cha neil thu ann a mmargadh rather than the logical form that is written. Again this is something that may not have been clear when other speakers have split it up syllable by syllable. This effect is so strong that in Irish they actually write it this way
Níl tú i margadh
Níl tú i mbád
Chan eil thu (ann) am bàta
'You are not in a boat'