It is possible that the person who wrote this question does not have English as a first language. For option "D" I think the words "should not" should have been used in place of "may not". It is perfectly possible, and you may want to, catch an AssertionError. But in most cases you should not do so.
I guess you are right. They might have been trying to say "Wrapping an assert statement in a try-catch block is optional" but instead staid "An assert statement cannot be enclosed in a try-catch block". I would hate to encounter something like that on a real exam.