Learn Russian: Они часто не понимают этот текст.

The dictionary form is понимать. Because it ends in -ать, it belongs to the first conjugation group. To say 'they do something', we drop the -ть and add -ют, giving us понимают.

Why does the verb end in -ют instead of -ут?

For first conjugation verbs, the 'they' form usually ends in -ут if the stem ends in a consonant, but -ют if it ends in a vowel. Since the stem here is понима- (ending in the vowel а), we use -ют.

Does не (not) always have to go exactly there in the sentence?

Yes, to negate a verb in Russian, the word не must be placed immediately before the verb it negates. So 'do not understand' is always не понимают.

The phrase этот текст is the direct object (the thing being understood). Why didn't its ending change?

Direct objects take the accusative case. For masculine nouns that are inanimate (non-living things like текст), the accusative form is exactly the same as the dictionary (nominative) form. The word этот (this) also stays in its base masculine form to match it.