"Do you know the way?"
Translation:Você sabe o caminho?
Yes. Caminho is literal, path. Jeito, forma, maneira means "the way to make sth work".
Yup. Thats also correct. rumo is a more restrict word, i mean, it doesnt sound good in every context. Caminho is way, like a path, or with a symbolic connotation. Rumo is not used that much and most of time it takes the meaning of "inner way", "decisions we need to make",... those things...
So could the translation "Tu sabes o rumo?" be valid (it was marked wrong here in the multiple choice) in a situation where you were asking someone for some sort of spiritual guidance or something similar?