There are several issues with this sentence:
First, "Sie antwortet ...". Everything after that is indirekte Rede (reported speech) and hence has to be in Konjunktiv (subjunctive mood). You did that in the first part, although correct would be Präsens, not Präteritum:
[...] dass er von hier geradeaus gehen sollte (solle!)
but not in the second part:
[...] an der Schule sieht (sehe!).
The grammar checker is wrong about replacing "sollen" with "müssen". Yes, "müssen" is possible, but "sollen" is too. "Müssen" stresses the fact that you have to go to A to experience B. "Sollen" is suggesting that you go to A, then you will eventually experience B.
The next problem with your sentence is: "und" as a Konjunktion connects main sentences, e.g.:
[Er kommt nach Hause] und [seine Katze begrüßt ihn].
Notice the placement of the Verb in both parts: it is in seond place, because German is a V2-language. In your case the Verb is in last position in your second sentence and this is only the case with a Relativsatz. But a *Relativsatz doesn't need to be connected with "und". e.g.:
[Er kommt nach Hause], [wo ihn seine Katze begrüßt].
The second part is just a detailed explanation what "nach Hause" means and because it is not a main sentence any more the Verb goes last. Hence:
dann er die Bäckerei hinten rechts an der Schule sieht.
is plain wrong word order. Either you create a real dependent clause:
...gehen solle, von wo [aus] er die Bäckerei hinten rechts an der Schule sehe.
or you create a main sentence, but then the Verb goes second:
Sie antwortet, (Hauptsatz, Verb second)
dass er von hier geradeaus gehen solle (Relativsatz, Verb last)
und
dann sehe er die Bäckerei hinten rechts an der Schule. (Hauptsatz, Verb second)
As you can see you do NOT connect anything "within a single dass-clause", but you connect two sentences, one consisting of a main sentence and a dependent clause and a second main sentence.
Also, the "und" is not really necessary - a simple comma would suffice.