I for one wouldn't assume that "Alexa, give me a challenge to do" would be pulling from the open, uncensored internet. I would assume that Amazon had some kind of curation method that would remove the possibility of Alexa telling you to do something lethally stupid.

Further, what Alexa did is actually even worse than just reading from the open internet, because it only took the "challenge" part and stripped away the context about how dangerous it is.

This is akin to something like, "Alexa, tell me about civil rights" and it quoting Stormfront or some other hate site's take on race, without any other context about what it's reading from.