Yes, it's definitely ok, and it really depends on where you are at with your fitness level.
Many challengers at the intermediate to advanced fitness level are doing other workouts programs when they sign up for the challenge, but the challenge itself can deliver great results.
The most important thing to do is ensure you are taking rest days and not overtraining, listening to your body, and exercising pain free. A good way to check in with yourself is to see if you have good energy for your workout and are not tired or exhausted. Back off on your training if you find that you are.
How you incorporate the challenge will be unique to your fitness level, recovery time needed and what other type of program you're using.
Stay hydrated, stretch, and LISTEN TO YOUR BODY :)