It would make a difference if the chosen location was under your control temporarily before the challenge (afaik, there are no applicable effects).
Oooh! Oooh! Can I play?
Using my Stark-Wildling deck, I play Abel's Washerwoman in Marshalling. In Response to that, I play Over the Wall and take control of your Alchemist's Shop. I then play House Umber Berserkers, choosing to kill Lucas Blackwood for the passive ability. I trigger his Response and, as my next action, declare my military challenge against you with the Berserkers. I use Direct Assault and win the challenge, but you use Red Vengeance, choosing me to be the "losing opponent" for claim. I choose the Alchemist's Shop I already have from you, taking control of it. The new "take control" effect (arguably; depends on how you want to treat the "still in play" text - in reality, this sequence probably wouldn't work) preempts the one from Over the Wall, so when Over the Wall wears off at the end of the phase, I keep the location anyway because of Direct Assault.
See, you can create just about any situation here!
(Anyone else think that sometimes, we go overboard trying to name all the possibilities and exceptions to various rules questions and answers?)