I believe it says on page 64 of the rulebook, in bold letters "only one challenge can be issued per close combat." in addition, on page 26 it states that "If both sides suffer the same number of Wounds , the combat is drawn and continues next turn." additionally, further down the page if one unit causes fewer wounds and in so doing loses, but still passes it's morale check to continue fighting "the combat is effectively drawn and no further account is made of the unit's defeat." That is, a combat only ends when one unit flees or is destroyed.
I couldn't find any actual statement that a continuing combat would allow subsequent challenges after the resolution of the first, only that ending a combat through one side fleeing would allow a new challenge to be issued (as it is a new combat) and that a continuing challenge can be effected by Glorious Intervention.
To that end it would appear to me, according to RAW, that as long as the guardsmen hold in there the Thirster can only challenge then slay one model in combat, and until they break and flee no more challenges are possible, so he's reduced to hacking up random chumps for the rest of the game. I really can't see anything in the rulebook to contradict this, unless it's been FAQ'd.
Not only that, and correct me if i'm wrong here, but even if the commissar DOES NOT fight the challenge so the squad does not get to use his leadership, the squad still receives the benefit of stubborn AND summary execution as those are special rules and the entry for challenges doesn't state the squad no longer benefits from special rules, simply that it does not benefit from the character's leadership. To that end it's still a leadership 7 or 8 squad that won't receive any negative modifiers to leadership and can, at the cost of a sergeant or a guardsman (depending on how many sergeants are still alive), re-reoll a failed morale test. So really, if a Guard player was paranoid he or she could just get two commissars to ensure one always had their leadership available, but even that would just net a leadership of 9 over a leadership of 8.
Ultimately running and hiding seems like the best bet if it's just a single Thirster, if there's a secondary squad sacrificing a sergeant a turn to slow down the Thirster while the main blob fights the secondary daemon unit seems like a big advantage. Really thinking on it more I don't see how challenges are hurting the Guard too much...