Challenges in the app follow a weekly cycle, starting on Monday and ending on Saturday. If you started using the watch or the app mid-week, you might not be automatically enrolled in the ongoing challenge as it began at the start of the week.
Also the user needs to complete at least 5000 steps in the current week to be eligible for the next week challenge.
The challenge section may not be visible for the current week, but if 5000 steps are completed then it should become available in the app from the start of the next week when a new challenge cycle begins.