Challenges are optional missions a player can choose to partake after completing a specific condition in that region. These conditions includes completing a story mission, liberating an occupied base and more.
Earn Gear Upgrades by Completing Challenges
Beating these challenges rewards you with Gears which you can use to unlock additional Gear Mod upgrades. Each types of challenges yield a specific type of gears, allowing you to unlock new Gear Mods from that relative line.