The example verbs in the lesson (se lever) and most of the ones presented in the tests (se coucher, se laver, se réveiller) all follow the same pattern-- in that the action is done on/to the subject or the subject own body. However, with the verb se moquer the action is done to someone else and requires the use of "de".
It's unclear why one wouldn't say "Ils me moquent" instead of "Ils se moque de moi". Can some explain this a bit?