This is a really great site. For me it would be perfect with an option that I propose below.
I understand that in many of the exercises there is a tactical motif you should find, and that finding an alternative move that wins the game is not enough. But sometimes it is not clear which moves are "best", simplest most elegant or demonstrates a pure tactical motif in the best way. (Eg. often it is human to simplify to a clear winning position.)
If you make a "wrong" move, and the applet will not give you another try, I think the applet should let you play on until mate. If you are able to deliver mate you should not lose any rating points (but probably not get "full score").
At least you would avoid the bad feeling you get when your nice winning plan is rewarded by "WRONG".