"Lhe" is used for verbs that need pronoums after them (which you should always check on a dictionary when learning new ones :D). "Amar" doesn't need a pronoum thus "minhas irmãs o/a amam muito" is the correct form. Check it in here for more: http://www.learningportuguese.co.uk/guide/grammar/portuguese-pronouns/object-pronouns
The "o" on the text sounds open, like the word "awe". Such is wrong. The correct sound of the "o" when a clitic pronoun is similar to the "o" in "obey". "O" when an article sounds more like the "oo" in "too", but shorter. Sometimes, as an exclamation equivalent to "hey", one may use "ó" (open) or "ô" (closed). Examples: Ó Miguel! Ô Davi! (Hey Michael! Hey David!). Unfortunately, in the Brazilian Portuguese Duolingo course, there are many other words with the tonic vowel mispronounced (open when it should be closed or vice-versa). They should be corrected so that the students don't learn to pronounce these words erroneously.