Learn Russian: Я подозреваю, что свидетель знает, кто украл золото. - I suspect that the witness knows who stole the gold.

Yes! Unlike in English, where we often skip commas before words like 'that' or 'who', Russian strictly requires a comma before every new clause. This sentence has two indirect parts, so you need one comma before the reported statement (что) and another before the reported question (кто).

In English, I could just say 'I suspect the witness knows...' without the word 'that'. Can I drop что in Russian too?

No, you cannot drop что. In Russian, you must always include the conjunction что (that) to connect the main phrase to the reported statement. It is a mandatory bridge holding the two thoughts together.

The first two verbs (подозреваю, знает) are present tense, but украл is past tense. Does Russian change tenses in reported speech like English does?

Actually, Russian is much simpler than English here! Russian does not shift tenses for reported speech. You just use the exact tense of the original thought or statement. The underlying question here is 'Who stole the gold?' (past tense), so украл stays in the past tense in the final sentence.

The word for witness is свидетель, which ends in a soft sign (-ь). At A2 level, how do I know if it is masculine or feminine?

Nouns ending in the suffix -тель are almost always masculine. This suffix is often used for professions or a person performing an action, very much like '-er' or '-or' in English. Because it is masculine, it will take masculine adjective endings and pronoun replacements.