The statement offers nothing about to what end art is supposed to challenge. You're right, it's not meaningless; it's worse: it's innuendo. not intended as such, I gather, but that's what it is.
The end to which art is "supposed to challenge" is Truth.
How do I know this? Because art appeals to the imagination. The imagination is part of a humanity that is made in the image of God. It has a purpose as much a hand and a foot and a mind do. It serves the mind. The function of knowledge is the understanding of Truth.
Well that’s because it’s a short sentence and the challenge list is long. Artist generally seek to challenge 3 things right off the bat: the medium (can this be done here), themselves (can I actually pull this off), and the audience (can you handle this). Now within the realm of audience challenging there are many more possibilities. You can challenge their view of themselves, their world, or art. Also you can challenge their ability to simply digest the art, there’s a lot of amazing art that comes from the “sit down, shut up, hang on” school.
How can you understand the truth if you’re not challenged? Truth isn’t easy, truth is tough, truth almost always comes with admissions of error and failings. You can’t serve the mind with a challenge, it’s like a muscle, you don’t make a muscle stronger by only staying within its comfortable stress zone, you have to challenge it, try to do stuff you’re not entirely sure it can do. Same with your mind.
If you want art to serve your mind and help you understand Truth you MUST consume art that challenges you. By avoiding challenge you flee from Truth.