Learn Russian: Грустный фильм — это не плохо.

In Russian, the present tense verb for 'is' or 'are' is almost always skipped. When defining or explaining a concept (like saying 'A sad film is a not bad thing'), Russian often uses a dash and the word это (this) to bridge the two parts of the sentence.

Why does the sentence use плохо instead of the masculine adjective плохой?

If you used плохой, it would describe the film's quality directly, meaning a poorly made movie. But here, the sentence means the concept of watching a sad film is 'not a bad thing' in general. When making these abstract statements about a situation, Russian uses the short adverb form (плохо).

Do I have to use это here, or could I just say 'Грустный фильм не плохо'?

You should use это. The structure 'Subject + dash + это + evaluation' is the standard way to express 'X is Y' in Russian. Without это, the sentence sounds incomplete or choppy.

There is a 'т' in грустный (sad), but is it silent?

Yes, exactly! In Russian, when the consonant cluster стн appears in a word, the т is silent. You pronounce it as if it were written грусный. This makes the word much easier to say.