I'd say that challenges can be "Do something" or "Don't do something", or multiples of either/each. Your choice. Neither do you have to accept "Get to spoilermetal/a given population cap/a fully-working version of Tetris" as a challenge, nor are you discouraged from "Don't use danger-rooms/traps/any material with an 'r' in it" excluding challenges.
As well as "I need to achieve more than the game normally requires" and "I need to employ less mechanisms than the game normally allows", you also have the ability to add in custom reactions (e.g. to allow you to build your fortress entirely of frozen mercury blocks, if such is amongst your self-made challenges, or to generate steel more or less out of thin air, if your gameplay is unconcerned about this aspect) or set invasions/temperatures/whatever off, etc, etc. Taming the game below the standard level. None of this is wrong/right/required/verboten.
If you're currently generating a megaproject version of the Hoover Dam in a hostile biome, someone who is normally against Danger Rooms might well consider that to not be a relevant restriction in this instance (or change their mind about that when surface activity gets awkward!), and I wouldn't consider that a problem. Because, hey... Hoover Dam!
Someone who is playing with the idea of generating a SPAAARRRTTAAA!!!! colony might well make the Danger Room thing a key personal restriction, inviolable. Until they decide that it's not, because they've got a better idea about what to do with this community. (And not even necessarily after having re-colonised the site for the fiftieth time.)
Personally, I can't stand to not have walls made of blocks. The same variety of block (for a given classification of wall, and even the floors/doors/furniture in that area, or a specific material block wall to replace mined-out intrusions in an otherwise mined-and-smoothed room of that natural material). And I'll go to great lengths to achieve that (and to keep all the other 'less interesting, but important' bits of the fortress running). The fact that I've not (completed) the building of a Danger Room is because whenever I've thought to do so, I've also insisted to myself that it be made within a 3x3, 5x5 or 11x11 room (to fit in with my normal room layouts), that the 8/15/120 squares that are not the rack/stand are all made with a single identical (wood and quality) type of weapon and (the easier part) set up with a single identical (stone and quality) type of mechanism... I've never even gotten round to using the 16/30/240 similarly identical mechanisms to connect these to anything manually or automatically repeating...
(Yes, I know there are 1-tile (or "1 dangerous tile", at least) versions of the Danger Room. I don't not use them because they're an 'exploit', but because they aren't... aesthetic enough. By my own personal standards, and ones which I would not wish to force upon anyone else.)
So, do as you will. And why not? (And thus I effectively repeat several other posts, at far more length than strictly necessary.)