I wouldn't say it is. But Duo has surprised me plenty of times with wrong sentences. This is just another one. As a native danish speaker, i wouldn't say there is a problem with your sentence.
In speech, you can differentiate based on the emphasis on "vil". With the emphasis, it means "He will not live abroad"; without it, it's closer to "He does not want to live abroad."
In general, when you put an emphasis on the "vil" ("vil" on its own, not like "vil gerne" or "vil gerne have", etc.) you will come across as more direct/possibly "less polite".