If he is killed during a military challenge does he go to moribund and thus could still trigger his response and kneel to save a Knight Watch character from being killed ?

Yes, his ability is triggered during the "saves/cancel" response section of the timing I believe.

Well, there's a little more to it:

If Maester Aemon dies for military claim, you could always use him to save himself. If you do, he never dies and is never moribund in the first place. You don't kill someone, then save them to bring them back from the dead (or moribund); you save them and prevent the kill from ever happening to them.

Now, you could choose Maester Aemon to die for military claim and let him die completely, becoming moribund. Then, if a different Night's Watch character is killed by a passive or Response to the challenge (like, for example, Deadly or CS-Robb Stark's Response) during the remainder of resolving the challenge, Maester Aemon could use his ability to save that Night's Watch character while he himself is moribund.

Or if it's claim 2, you could choose Aemon and another NW character to die, and use Aemon to save the other NW character.