Learn Russian: Я не знаю, что он приказал полиции. - I do not know what he ordered the police to do.

The verb приказать (to order or command) is a verb of communication. In Russian, you give an order to someone, so the recipient of the order must be in the Dative case without any prepositions.

Why doesn't the Russian sentence include a verb for to do at the end?

English phrasing requires an infinitive like to do in this structure, but Russian is more direct. The phrase что он приказал literally means what he ordered. The action being commanded is already implied by the pronoun что, so no extra verb is needed.

полиция is a feminine noun ending in -я, so shouldn't its Dative ending be -е?

Normally, yes! However, feminine nouns that end in -ия (like полиция, история, or лекция) follow a special rule. Instead of taking the standard -е ending, they take -ии in both the Dative and Prepositional cases.

Why is there a comma before что?

In Russian grammar, you must always use a comma to separate clauses (parts of a sentence that have their own subject and verb). Because он приказал introduces a new subject and verb, the comma before что is mandatory.