"jumped in" and "jumped into" have different meanings, but it is not clear which the French sentence means.
There are no separate words for "in" and "into" in French.
I hope it's not Duo...
...And was never seen again.
In BritE we more usually say "Jumped INTO..." when it is referring to water.
If the meaning is that the person jumped from somewhere else into the waterfall, then "into" is the only correct word. "Jumped in" means the person was already in the waterfall when they jumped.
It is not clear which the French means, although probably the former.
The former is what I thought... but by reading your comment I can imagine the second one....
Alternative: Il a plongé dans la cascade et il a disparu !
He must the monkey king!
For the listening exercise the speaker swallows the et, and duo marked it wrong when I assumed it was a comma splice rather than a proper compound sentence.
falls and waterfall c'est la meme chose in Canada