According to the patch notes and screens I saw you should be able to access the new challenge mode simply by opening the passport and chose it. Well, this option does not even show for me in any of those threaa games and I have made sure the game has ben updated and tried with and without Galaxy. It just shows "New Game" and "Unfinished Business" ... I tried multiple reinstalls and deleted saves and config files as well.

The only additional information that might be useful is the fact that I am still running Windows 10.

Edit: Solved.
You can only access challenge mode for areas you have completed already. So for it to show on the main menu you would at least have to beat the very first area of the game.