I can't compare as a player, but I can compare as a visitor and I do believe him when he thinks challengers are fun.
The atmosphere is very relaxed and the matches are mostly competitive from the start. Not like the big tournaments where you can sort of predict the outcome in first rounds (apart from the surprises of course).
For me challengers are always fun, I've never had a bad time there. Only remark I can make is that there's not enough "off-court entertainment", but I also feel that way over Bercy and Marseille, so that has nothing to do with big tournaments.
I think players like Arnaud can genuinely like to play challengers because of the atmosphere. And the visitors are usually more behaved, cause people come for the tennis. Not like in Rotterdam where everyone wants to see Fed and they think Stakhovsky is either Soderling or Kohlschreiber and someone even asked me if they were supposed to know Gilles Simon based on his achievements the year after DC final.
I can imagine that it's not fun if you are early in your career you want to get out of challengers asap, but in Arnaud's position and knowing how much he loves to play I can definitely imagine that he likes challengers.