So "dont" cannot be used in any of the phrases?

Bonjour Michele, No, dont can't be used because it always replaces de + something. None of these phrases include de.

I'm struggling to differentiate between "The girl you are thinking of ..." in this exam and the example: Le garçon de qui / duquel / dont tu parles, est très gentil. The boy you are speaking of (of whom you are speaking), is very nice.

Sorry, I misquoted the question : The person I'm thinking of makes me happy.

Could you please elaborate further on why 'dont' cannot be used for 'ce problème...'? My understanding is that one could say 'je n'ai aucune compréhension de cela', so why is it 'auquel'?