Challenges - like all experience - build character.
But does it improve? Not all the time - many times an experience will lead to negative development of the character.
For example, a person does a small crime like secretly acting as the escrow of their own transaction, in an effort to make more money.
They get away with it, and the experience convinces them they can get away with dishonestly. So they more on to more serious crimes.
Crime is normally a choice, not just experience. So a challenge these people face is whether or not to commit felony