If an item isn't covered in the written rules, it's permissible. The lack of home is part of the rules for both challenges, I believe. You move the founding sim onto a large (usually specific) unoccupied lot. There isn't much money left over, so only the necessities are purchased. Walls aren't necessities.
That's all part of the challenge. As for the early start to families, there's a lot to accomplish in both types of challenge. The earlier a start you can get on any part of it, the better. Since both challenges require subsequent generations, I can only assume the players you've seen want to get as quick a start as possible. Also, if you delay things until you've got the house and are an adult, you may not be able to achieve all that's required. I'm not very familiar with the dynasty challenge, but there may also be milestones to be completed before your sim becomes an adult, so waiting wouldn't be allowed.
