In short, you do not need to finish a challenge in one sitting. If you log out of the NICE Challenge Webportal in the middle of a challenge and then later log back in the challenge will be as you left it, assuming your reservation did not end.
When attempting a challenge we suggest the player attempt to do so in one sitting. Many challenges take a couple of hours to finish, so make sure to set aside some time before starting one. Otherwise, the data the curator will get might be harder to interpret properly. However, it is ultimately up to the curator and players should ask their curator if they are unsure of the answer.
Ultimately, the player need only complete the challenge within the reservation window. This is because once the reservation window lapses, all work a player did up to that point is recorded as an attempt and sent to their curator.