Translation:We talked while we were going to the station.
"Whilst" is a little old fashioned and I suspect it has a specific meaning that is slightly different from "while", but can't quite remember what. Bad luck.
"We had spoken" is avevamo parlato, the trapassato prossimo
"We have spoken" is abbiamo parlato, the passata prossimo
Both of these can be translated as "We spoke," and sometimes Duo accepts this and sometimes it doesn't. I've found it best to use the compound form whenever possible, as Duo almost always accepts it.