in a previous lesson, I came across "je peux parler le francais". Should we use "le" or not before the language?
As I said before, both can be used, but logically: either you say 'l'anglais et le français" or you say "anglais et français".
Could the audio have said "ils parlent anglais et français"?
Yes, it could. It sounds exactly the same in real life.
The audio could also have said 'il parle l'anglais et francais'
by pure logic, you can probably deduce that the same construction should prevail for both languages.
in other words, either you say 'l'anglais et le français" or you say "anglais et français".
Why aren't there liaison between anglais and et? This audio sounds like "Il parle anglEEEHHH français".
Because "anglais" is a singular noun; it's forbidden to do liaisons directly after them.
And more liaison rules here: https://www.duolingo.com/comment/2004908/French-liaisons-between-words
So in French, languages aren't capitalised like they are in English?
Yep. Words like this are only capitalized when they're a proper noun.