You're statement can be as true as it is misleading, the only reason for this is you having picked the word effective which has little to do with stat-weights.
PvP gear is nearly the same budget as PvE gear, but the overall difference becomes bigger the higher the item scales.., which again has no relevance at all in regards to challenge modes.
OP; You're perfectly fine to start on challenge modes, as others have already pointed out.., the biggest difference between taking gold or not, is the comp you run with as that is the single most important aspect next to being prepared with strats etc.
Best of luck