To me, challenge club fulfils the role of being a way to put the skills you have learned in courses to the test - and gain some extra knowledge in a more structured environment. I have been working on my own games as well to do this - however I find that these smaller challenges is a way to keep learning and improving problem solving ability without taking on an entire game.
I was still fairly new to Unity when I started challenge club and it initially gave me the confidence to go out and do my first couple of game jams. Having that bridge between the course and my own game was a huge bonus!
It’s kind of like how sites like ‘codewars’ are really good for problem solving, algorithm practice, etc.
I see it as a perfect middle ground for those who have just taken a few of the courses but are still not 100% confident in making their own stuff without always resorting to tutorials. A lot of the time I find that people are copy/pasting code and not really sure what is happening, so for those people this is the perfect solution, with the goal of being able to then transition to their own games.
I think people who are quite serious about their learning and willing to make that investment would be really keen on challenge club. Those with the goals of really wanting to understand how everything works and perhaps do this as a serious hobby or a career. It may be hard to convert the very casual portion of the Udemy crowd but there is still a good sized audience out there for challenge club, I think.