It's too messy. How is a coach going to know a replay is available that shows a stick did or did not hit someone above the shoulder? Then we get into the inequity of the camera angles available in Montreal on a Saturday night vs. Florida on, uh, any night.
Generally they know right away. Your guy is down in the corner with blood pouring out of his face, but no call was made. If the bench didn't see it themselves, they'll have more than enough time for someone in the press box to check it out while the player is being checked on by the trainer.
As for the camera issue, that's something I'm sure I've mentioned plenty of times over the years. They need to standardize the camera shots available at each arena. Even the NFL doesn't seem to get that one right, but if you want to have a serious replay system, the same shots need to be available everywhere. There are some obvious limitations given the layout of certain buildings, but I do think they've improved in this area a bit.
How many challenges is a coach going to get? I can't see wasting one for the sake of a power play.
Just like in the NFL, it's situational. Depending on the limit, if you're deep in the 3rd period and have the option of a challenge, you're going to make that call.