"They follow their brother."
Translation:Loro seguono il loro fratello.
"il loro" and "la loro" are the exception to the rule that the article is not used before singular family pronouns. (mio padre, tuo fratello, sua figlia, nostra madre, vostra sorella but il loro figlio or la loro madre etc).
I am not aware of any development in modern Italian regarding the use of "loro". Dropping the article before "loro" would sound unidiomatic. So, yes: it is a Duo error. I agree with jesslc (except that "madre", "padre", "cugino" in Italian, as in English, are nouns, not pronouns).