"We never tell him that we love him."
Translation:Nós nunca dizemos a ele que nós o amamos.
Duolingo never really "teaches" anything. We learn from experience, trial and error, etc. The best way to learn a bit more peculiar things like this sentence is in the discussions. Usually, Duo will accept more literal translations for these kinds of sentences though ("...que nós amamos ele" is probably ok here)
Nós O amamos = nós amamos ele = we love him. Just take a look: http://www.sonia-portuguese.com/text/pronouns.htm#Direct Object Pronouns -- see direct/indirect object pronouns
:( but i found the new link for he same website:http://www.sonia-portuguese.com/language.php?cid=2&id=36#Direct Object Pronouns =)