It is confusing. You can do two different things from the"Challenge Room Menu".
Firstly, as you complete the main Chapters, the actual Challenge Rooms (on the left of the menu) will start to become available to you. Not only are these great fun but they give you rewards that are useful in the main game. Beating them is the only way of getting some of the ShadowHand spells.
Secondly, you can return to any Chapter you've completed already (using the right of the menu). This is useful to collect any Artefacts you may have missed. As jiminator says, Artefacts increase your Fury and this is a good thing

On which ...
@jiminator - Nice to see an old PK fan enjoying NVN as well

That's a nice vid. I, too, found that alcove at the beginning to survive while building up a good Fury level. See my "Man of Courage" vid
here. Here's my result from Demon Crusher

As you can see, not many shots used. I love that ShadowHand Claw

Interestingly, on MoC, I had to find a way of taking on the Beasts because I only had a Fury level of 23 and it took me the best part of the 15 minutes. On my Demon Crusher attempt I had a full Fury level and the Skull Chasers made a big difference, letting me, like you, finish before the Beasts spawned in.
The next release of Blood's & my "NVN Guide" will include a bit on the Challenge Rooms at Demon Crusher. Some do require different strategies.
Cheers
Greybeard (the AncientMariner

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