Not necessarily: if you accept that challenge, then it means their close combat beast of a character isn't killing your men. Not always useful, but may have its moments.
I also foresee people creating tough characters solely for the purpose of challenging enemies and stopping them from munching on your weaker buddies. Eternal Warrior and/or Storm Shields (or the like) would be very handy, for example. Especially running in pairs with your CC monster characters: let the monster slaughter enemy infantry, while the dedicated challenger ties up the enemy character.