"He knows women."
Who understands what duolingo "means" half the time, but the sentence can be translated as "He", "She", or even "It understands women." All would be correct. Did duolingo not accept "she" or "it"? If so, this should be reported as an error. Context exists in real-world writing and conversation, not in sample sentences, but, yes, "Lui" could be used to emphasize "he." It would be unnecessary if the sentence were part of a discussion about a person. Presumably, the sex would already be known at this point.
"Conosce le donne" is the literal translation (not carnal), "Capisce le donne" the more correct in context.
Sapere has another nuance. Here some examples to understand when to use sapere and when conoscere.