Challenges are part of the collectibles in Harry Potter and The Deathly Hollows Part 2. You need to collect these if you want to unlock Complete Collection achievement or trophy, which requires you to collect all the collectibles in the game.
If somehow you have missed any of these, you can find below the locations where you can find all these collectibles.
Location. Go through the first door and walk through the hall that follows. As you exit it, look at your right, at the end of the hall.
Location. Go through the door Harmione opens for you when you save her. Look for this on the left of the door under the left window that you come across next.
Location. Behind the table on the right side of Snape. Use shield and attack him, he will move to another location. Once he has moved, you can grab it. You can only collect it with McGonagall.
After protecting Ron second time while he opens a locked door, you will need to make a right and then another right to find this collectible.
Location. After you protect Ron for the second time as he opens a locked door, take a right twice and you will end up near this collectible.
Location. When you can move around freely with Neville, take out the wizards and head to the broken section of the bridge. You will find this collectible on your right, opposite to the place where you use the wood to take cover. Go straight ahead, opposite to where you started and you should find this collectible on your right.
There are no collectibles in Chapter 6.
Location. From the second walkway that Harmione opens for Harry, reach the lower section and look right. You will find it in front of a light emitting glass.
Location. Once you have cleared the furniture fort, go up a ramp to reach the next area. Go where Ron is hiding behind the cover. You will spot this collectible on Ron’s right, just in the corner.
Location. After you have successfully defeated a wizard that jumps right through the window when you are walking down the set of stairs. Take left and walk down another set of stairs and you will find this collectible.
There are collectibles in Chapter 9.
Location. After defeating all the wizards, take the left stairs followed by the middle set of stairs. Look at your right and you will spot a collectible item at the bottom of the broken steps.
Location. Just before you fight the wizards again, get this collectible at the bottom of the steps to your right.
Collectibles in this chapter are on the each corner of the map, but you need to get them before you meet up with the rest of your friends since it will lead to the place catching the fire.
Location. Turn around and you will find it right behind you as soon as you take control of Harry.