Why aren't there more questions for testing this?

Probably because in daily speech it's not that critical to know the term for many of these, such as baby horse. English is my native tongue and I never even heard of the word foal. 

But if you're so inclined to learn them all, make flashcards and test yourself. It's not that difficult. 

Can they just say, " female horse, " in French, for example, or " baby horse, " and skip over all those extra terms entirely? I mean, in English we don't usually call a female dog its name, we just say female dog.

Good question. I think we should definitely know the difference for some of the more common animals like chien et chienne, but for the less common ones I don't know, unfortunately. 

In my personal opinion I wouldn't get too hung up on this particular lesson unless you're planning on studying zoology or something in France. The vocabulary will come in time. 

Yes, I wish there were more practice questions for each lesson. I would have at least 5 questions, ideally 10. That way, I would feel like I'd really learned the material. Two questions just doesn't seem like enough.