Q: When do the benefits of defense challenges take effect?

Defense challenge benefits take effect at the start of your next action. The penalties take effect immediately you declare the challenge (which you can do at any time in your turn, unlike an attack challenge). This is also on page 205.

Example: I act, and at the end of my turn take a -4 Defense challenge. I suffer the -4 penalty until the start of my next turn, at which point the penalty ends and I gain the benefits during that turn. At the end of that turn, the benefits end. During the turn, I choose to take a -2 penalty for the next round. I suffer the -2 penalty until the start of my next turn, and so on ...