"Is it a lovely thing?"
Translation:An rud álainn é?
This is a copular question - you are linking the pronoun "it" to the noun "thing".
Change the exercise from a question to a statement, and you would say Is rud álainn é. If you change "An bhfuil sé rud go hálain?" into a statement, you would get tá sé rud go háilinn, and it might be easier to see why that's wrong.
You can say Tá an rud sin go háilinn, because there is only one non/pronoun in the statement "that thing is beautiful"
rud is actually masculine. It's being used because the thing in questions is feminine. Perhaps they're talking about the moon (an ghealach)? é would be equally acceptable here, depending on context.