When this event resolves and becomes an attachment is the attachment removed at the end of the challenge phase or does it become a permanent attachment?

Once a card attaches to another card, it is considered just to be an attachment - no matter what its printed type might be. So, since it is only an attachment, and there is no text instructing otherwise, it will not be removed automatically the way an event would. It would stay in play until specifically removed (by a card effect or the attached card leaving play) the way an attachment would.