Sigils are definitely intended to be earned as you go through the game. For example, they give you a lot of early-game equipment, so it's obvious you were supposed to get them in the early game and not the endgame. That said, you can't necessarily complete all the challenges as soon as they're unlocked ("Enemy Level +50," for example, is a warning sign).
But that's just what the developers intended - not all the rewards are necessarily worth it. I'd definitely recommend you get 10 challenge sigils to earn the first-level Haste ability, because Haste isn't unlocked in any other way, but if you stop after that you'd be doing no worse than I did in my last playthrough.
One thing to keep in mind is that the game does unlock a special feature after beating the game if you earn one or more challenge sigil in every challenge (well, that's the short explanation, anyways). It's essentially Days' equivalent to the secret endings of previous games, though it's not a video. Specifically: You unlock diary entries for other characters spanning the entire story. You'll have to decide for yourself if that's worth the extra trouble.
If you're looking for free stuff, remember that you can also complete missions in single-player Mission Mode to earn Mission Crowns, but the process is equally tedious. If you can find a friend to play with you, all the better.