I haven't found this bug reported anywhere, so here goes. In v.0.9.8.5 Win+sound, if you select Challenge Game from the main menu, then pick a challenge, then escape out of the Choose Difficulty screen, then select New Game from the main menu, pick a difficulty and start playing, you'll be playing with the settings of the challenge you selected (but didn't start) earlier. I've reproduced this for AoLT, AoB, and AoDr, so my guess is this is the same for all challenges. The challenge mode is reported in mortem.
This means that, once you've selected a challenge game and changed your mind, the only way to play a normal game is to restart DoomRL.
(In one such game, which I started as New Game but which was effectively an AoLT challenge, I'm pretty positive that the cave level on lv3 didn't have any down stairs - at least I couldn't find it despite Computer Map. I was stupid enough not to dump the screen, so please ignore this unless you can confirm it.)