If you do the Challenge at the PTS, you only have the reward on the PTS and only at this Saveslot you are using.
If you play at the "normal" server and play in saveslot 2 (e.g.), you must load the savegame in slot 2, then go back to mainmenue and start the challenge. Then you have the reward for slot 2.
If you start a new game in slot 3 (e.g), you have to do the challenge again for this slot.