The name Baldr belongs to a group of strong masculines whose stem
ends in 'r' ("galdr" = 'magic' is another); so the stem itself
is "Baldr". It's kind of like the "jarl" thing, it's not really
possible to pile an -r ending on to that, so you do without it (hence
nom "Baldr", not "*Baldrr").
The lessons will get to this very soon.