The aim of the safety course is to teach you about firearms, and show you how to use them safely. At the end of that course there is a practical test when you must demonstrate that you know how to use them safely. They'll put several types of guns in front of you, and you'll have to safely handle them all (proving them safe, loads, unloads, knowing which type/calibre of ammo goes in each, etc)

When you "challenge" the course, you skip the lessons, pay less, and only do the practical test at the end. Think of it like taking Driver's Ed to learn how to drive, and then taking your test to get your Driver's License, or if you already know how to drive, you can just go take the test and skip Driver's Ed.

If you are new to firearms, though, I strongly recommend that you do take the full safety course. Not only will they teach you about things like safe storage, the classification system, and different types of firearms, you'll actually get hands-on experience. It's well worth it. Your aim should be to be a responsible gun owner who knows what you're doing, not just to get a PAL.