Challenge mode is a game mode where you try to do challenges in the game. The feature was added in the 1.5.10 update and cheating is not allowed in this mode. Still, you can do quick saves, which you can enable or disable the ability to do it in creating a world.
Objective[]
The objective of the challenge mode is to try to do as many challenges as possible in the game (such as reaching space, landing on the moon, etc.).