Challenges? I'll bite.
Vanguard Bandits? Pay a bit more attention - you just killed a bunch. The Empire soldiers you were just fighting were in territory that's certainly not close to their homeland, I can't remember if we already know the exact status of the region - it's under the Empire's control, but in civil war? Maybe? Still, the Imperials are quite a ways into what could be considered enemy territory. Those soldiers in Bastion's homeland are the enemy army's vanguard!
And you know how they're acting. Like common bandits, right. That the whole game is titled after those troublemakers is an obvious political commentary. They don't want to condemn the whole Empire - not every citizen is evil, not even all of the ruling class (see: princess). And as they said in the last update, even "the good guys" can have armies that plunder and murder.
What the game is getting at - every army's Vanguard is full of Bandits. Invasions are bad, they corrupt the soldiers. Stop sending troops to Iraq damn it.