why "zij steunt mij niet" is wrong?
I had this as a listening exercise in which the voice did say "je" rather than "jij". Maybe the same for you? If it was a writing translation exercise though, of course your suggestion should also be correct.
Well, I had the Dutch-English translation exercise, and it said "Zij steunt ME niet."
Look it up in the grammar rules.
I'm not sure which exercise you had, but "zij steunt mij niet" is also correct Dutch.
Why it's not "They don't support me?"
That'd be zij steunen, as opposed to zij steunt.