That's how it is in the rules. By the end of his turn, the paladin must be adjacent or engage (i.e. attack) his target marked by divine challenge. The paladin must do that every round otherwise the mark is gone and the paladin can't divine challenge next round.
The difference with my houserule is a paladin could walk up an attack a guy, and then use his mark on another guy 5 squares to try and pull him in too. Currently the paladin could not do that unless you used a ranged attack to mark the guy.