I'm no expert but I believe a fielding team must appeal before the umpire can give a batsmen out, unless the batsman walks.But those same players will appeal for a caught behind and then not use a challenge when the umpire turns it down.
I know it is a bit of a mixed up analogy because here there was a challenge, but isn’t this a similar situation?ie you are appealing for something you are not 100% sure about?