Do you translate this as basically, "They've understood fuck all"?

Do you translate this as basically, “They’ve understood fuck all”?

Yes, maybe
In general, in slang from Spain, “coña” may mean “joke” (although it’s still a swearword derived from “coño”)
“ni de coña” would mean “not even as a joke” = “not at all”, “no way”, “not in your willdest dream”