If a problem is "not semi-decidable" and "not decidable" can we say it is "undecidable"?
Undecidable isn't wrong: "undecidable" means exactly the same thing as "not decidable". However, your TA is saying that you can make the strictly stronger statement that the set is not even semi-decidable.  This implies that it's undecidable, but isn't implied by "it is undecidable".

Suppose you were, instead in a biology class. You wrote "This is not a lizard" and your TA crossed it out and wrote "This is not any kind of reptile." You're both right, but your TA's version has more information in it.