It doesn't mean it's wrong. As a matter of fact we can say "he turned right" and "he turned to the right" and though they have similar meanings, they are not the same. The answer "στα" should be right as well. So yes, we can say στα δεξιά and as a matter of fact it is the most proper answer.
Όταν χρησιμοποιείς κάτι που δεν είναι απαραίτητο δε σημαίνει ότι είναι και λάθος!