is there a point where you can remove an icon with lets say locked away after the challange has been started but before attackers are picked?

No.

Naming the challenge type and declaring the attackers are two parts of the same process. You cannot interrupt it. So you cannot make a character ineligible in the middle of that process.

Ultimately, unless the thing says "cancel" or "save," you cannot interrupt anything in this game. It's much more about outmaneuvering your opponent by taking away their choices before they can make them than it is about reacting to counter what they have already done.

so if i am the first player and my opp has locked away on my char i could get one challange in before he can use locked away? thats how we have been playing but just want to confirm

That is incorrect. There is a Player Action window prior to declaring the first challenge. You as the First Player have the first opportunity to trigger an effect or play an event card in that window, but whether you do or not, your opponent has the same opportunity before you can proceed with your first challenge. This is when your opponent could kneel an influence to trigger Locked Away and strip an icon, limiting your ability to use the character.

Your original question asked if your opponent could remove an icon after the challenge had started. That, he cannot do. But, as sabrefox points out, there is time between the challenge phase starting and the first challenge being declared for the opponent to strip as many icons as he wants/can. The challenge phase begins with players playing effects, not with the First Player declaring a challenge.

So while the timing structure does not allow for a "reactive counter" to the player's decisions (short of a "cancel" effect), it does allow plenty of time to take away another player's options.