Yes, the penalties stack.
- Bonuses and penalties of the same type do not stack.
- Untyped bonuses and penalties from the same source do not stack.
Divine Challenge/Sanction gives an untyped -2 penalty on attack rolls for attacks that do not include you. Righteous Challenge gives an untyped -2 penalty on attack rolls by targets marked by your DC/DS. Both bonuses are untyped, and are from a different sources (-2 from DC/DS, and -2 from RC).
Note that they stack explicitly because the feat applies a penalty to foes you marked with DC/DS; if it instead said that your DC/DS gives demons/devils -2 on all attacks then the feat would be changing how DC/DS work, rather than applying an additional penalty.