do some puzzles penalize you for refusing to assume the computer will freely give away pieces?

Unless the puzzle is flawed, which is extremely rare, the answer is no.

If the engine gives away a rook there must be some reason for it. For instance, maybe if he doesn't give away a rook for a bishop, he might lose it for free, or gets checkmated or lose a queen or something to that effect.

The puzzle will penalize you by indicating an incorrect move if the best engine move isn't played. The best move in a puzzle usually leads to a large advantage compared to alternative moves. If the computer's response is to sacrifice a piece that was probably their best move. 

It's just you who don't understand why it does that

Thanks, most of you. :-) 

Most 🤣

The key word here is most. 🤣