agreed, many roads lead to Rome. Why go for a 5 move checkmate, that you might not totally grasp, when there may be another way to maintain a winning advantage that incurs no risk, ie; who cares if it takes X number of addtl moves ? A win, is a win, is a win.
Losing Points with Right Moves

But if other moves really win "just as quickly" then the lessons do need improving.

I don't do lessons here so I cannot comment on that specifically, but I can attest to the fact that the tactics trainer is equally broken/dumb/frustrating.
In real life you might spend 10 minutes looking for some deep combination, and at the end all you have to show is fewer minutes on the clock. That's because there's nothing deeper going on, or if there is, you might not see it.
I tend to have a minimalist approach to chess: anything that leads to decisive advantage is good enough for me. I don't need to show off or play to the crowd, especially when there's no crowd. One might feel pretty stupid if (s)he misses mate in one, but even then it doesn't really matter if you're still winning. When a game is over, you get 0, 0.5 or 1, there's no 1 with distinction.

And, quite honestly, even though they play on a higher level, grandmasters take the same, low risk, approach. Therefore, the lessons that are asking to find a complex, multi move mate, aren't giving you the same info as if you had a gm coach sitting next to you. No one in an actual game is going to rack their brain looking for a 5 move mate, when they can just take a few extra moves and promote a pawn. Now, that being said, there isn't anything wrong, and it could help your overall visualization skill, to look for these things in training practice, but included as a supplement to a solution, or as the only available solution, when a simpler, more direct route doesn't exist. They're trying to get you to play like a chess software engine, which is not only not practical, but ultimately, probably not possible.
So even though I make one or more perfectly fine, winning moves in the lessons section I still lose rating points because they are not the "correct" move. So I am forced to find the "correct" move and sometimes I can't so I lose points! Dumb!!! And it really blows my mind when the "correct" move is pretty unnecessary. Why the need to look for some obscure, though winning, line when there are one or several simple and straightforward lines that win just as quickly?! This really needs to be changed