I think wasting a challenge on a first drive would have been far bigger mismanagement. You get 2 a game, unless it is a huge, explosive touchdown who cares?
NE scored 7... 14... 21. Didn't matter. Bills offense was stuck in park, it's extremely plausible that if McD challenged, won, forced a punt then the Bills still punt the next drive considering it was the opening game script they followed. Bills punted what, 3 straight? Hindsight shows that the lack of challenge didn't matter, because the offense had consistent issues that did not get resolved until nearly halftime.
McD outcoached MV in the 2nd half.