Learn German: Das Ufo soll im Wald landen. - The UFO is said to land in the forest.

This is the subjective use of sollen. You use it to report a rumor, hearsay, or something claimed by others, similar to 'is said to' or 'supposedly' in English. While the sentence could technically also mean that the UFO is instructed to land in the forest, context usually makes it clear when someone is just passing on an unconfirmed report.

Since the UFO is moving from the sky to the forest, why do we use the dative im Wald instead of the accusative in den Wald?

This is a classic trap! Even though a landing involves motion, verbs like landen (to land) and ankommen (to arrive) focus on the fixed location where the action happens and ends. Because we are answering the question of 'where?' (wo?) rather than 'in which direction?' (wohin?), we use the dative case for the two-way preposition.

Why is the word Ufo neuter (das Ufo)?

Ufo stands for unidentifiziertes Flugobjekt (unidentified flying object). In German abbreviations, the gender is almost always determined by the last core noun in the full phrase. Since das Objekt is neuter, das Ufo is also neuter.

If soll can express both a rumor and an instruction, how would I clearly give advice, like 'The UFO ought to land in the forest'?