Setting up a community in The Conqueror Challenges lets you view only people who have joined the community on the Map and News Feed.
This can be useful if you would rather just compete/participate with people you know rather than everyone who is on the challenge.
Setting up a community
Tap on the main menu (bottom right of your screen), then tap Communities.
Click the "Create a Community" drop down
Fill in the fields and click save.
Here are the steps above in action: