I think you can delete duplicate ones, or something. I have gotten some Challenges that have the same songs in them, but have different bosses, so go figure. I think the songs are somewhat random, but don't quote me on that one, as I am not 100% certain of that. But you can unlock the songs to the Challenge mode by getting enough Rhythmia points. Just as a warning, you need 45k points to unlock the last one.