As a native English speaker I would never say "His soul is in the heaven now" - the "the" in that sentence would always be omitted. So maybe that's why Duolingo didn't like your answer - it accepted "His soul is in heaven now" for me just now.
However translating as sky, the sentence needs the "the". "His soul is in the sky now" is correct but omitting it would be wrong.
Frantically trying to think why this is... and I think it is because heaven is a specific place whereas sky is a thing. Like saying "his soul is in London now" versus "his soul is in the city now".
Thank you for all your replies to my questions today, have an ingot :) I only discovered web Duolingo recently and the tips and discussions are so helpful! I did the entire tree via the iOS app and wish I'd known about the tips earlier... I was guessing what the Swedish grammar rules were as I went along !