Translation:They are going to the train station by share taxi.
The marshrutkas I've seen in Kyiv were more similar to buses (numbered, fixed routes, etc.) than to cabs. But I can't speak for all of Ukraine, and as a foreigner I may be missing important subtleties.
I think in other lessons I've seen it translated as city bus though. So, if you are right, those are the ones that are wrong.
I understood that залізничний is railway station and that вокзал is station and not necessarily a railway station- eg a bus station. Furthermore in Britain it is never referred to as a train station but as a railway station. In that case why is 'They are going to the station marked as incorrect?
Just "station" is actually accepted. What was your answer?
There is no one-to-one correspondence between вокзал and different kinds of stations in English. If you want something easy to imagine, think of вокзал as a terminal, i.e. a major railway station with a building, (or the station building itself).
If however, the station is just a platform in the middle of nowhere, it's just a station.