Board Thread:The Quarters - Q & A/@comment-69.20.138.193-20160502201020/@comment-27645494-20160502210719

They're not necessary to have -- in fact, most of the challenges I've come across don't include anything in the Rewards column -- but you can create custom rewards that are relevant to your challenge. Here's a good example of a challenge that uses them: https://habitica.com/#/options/groups/challenges/0844dfd8-b4e3-41e5-a190-71f903976c0b.