Gilded cargo are added to your cargo at the start of a next run but it (like all start items) don't work on royal babysitter.
I got the gilded cargo in Royal Babysitter Mode, after that I had a couple runs in that mode until I finished the challenge (yay) and when I switched to normal mode, it still didn't appear. It might have worked if I switched to normal mode immediately after losing the run where I got the gilded cargo?
I also like the idea of possible future challenge modes, it's a nice feat (:
Yup, if you start a challenge run it will "use" up all the stored gilded cargo just like it normally would but just doesn't give them to you. Otherwise they would just stack up and would become kinda OP. Other way I could do it maybe is not giving out gilded on challenges at all so they wouldn't need to reset at start.