I have the same problem. After switching from iPhone Xs to 11 pro and upgrading from a series 3 watch to a series 5, the monthly challenges from October 2018 up to including this month is gone. Everything else seems to be there, except I went for a short walk yesterday and it suddenly displays that walk as a record.
I called support and they had never heard about the issue. Gave me an advice to re sync and I’ve tried. Extreme measures and no result. “If that didn’t help, all is lost”
One of the reasons I’ve liked Apple is that everything is backed up. If I knew this would be the case I wouldn’t have bought new equipment. I’ve spent a lot of effort on earning them and had to deal with many complaints from the wife due to spending all this time, running in the evenings after work.