Checking in on my September challenge progress yesterday I discovered this issue.
On Friday I switched from my XS to a new 11 Pro, transition being the least smooth iPhone upgrade ever; the 11Pro was delivered with iOS 13 and refused to update to 13.1 which was required to restore from the XS iCloud backup. It also refused to automatically pair with the watch, etc.
Anyway, eventually everything seemed to be working and I re-paired my AW S5 with the 11 Pro. All of my perfect month and special challenge badges (new year's, women's day etc) are there.. BUT I only have my monthly challenge badges until August 2018. There are 11 badges missing. I don't even have a September challenge on my new phone/watch.
Thing is, I still have my XS (didn't reset it) plus my AW s4 paired with the XS. Everything is still there on the XS.
I have restarted all devices several times which doesn't seem to be doing any difference at all.
The way the activity app syncs is somewhat of a mystery and I think it might be the key to these kind of issues. It takes the data from the Health app, crunches the numbers and displays on the watch, which then syncs to the Activity app on the phone. Without the watch, the activity app on the phone does not update. Also, the health data does not seem to have a bidirectional iCloud sync as my two phones show different data. I do wonder where the challenges "live", though.
So what might have happened to me is that I synced my new AW to my new phone before all Health data was restored. This might mean I might be able to use my AW4 to regain my badges. Just not sure how. Maybe re-pairing the AW4 with the 11Pro, restoring from a backup from before the badges disappeared.
Edit: Just realized my september challenge is not on the XS either as it thinks I have failed it (fill all the rings for at least 28 days) since I haven't used any watch paired with the XS since I got the 11Pro.
Update: I found the lack of bidirectional health data sync disturbing (sorry, couldn't resist) so I deactivated the health data iCloud sync on the XS, then reactivated it again. That made it update data for two days (27th + 28th) but not the 29th yet. This means my September challenge reappeared on the XS and just as I'm writing this I got the award for September on my AW S4.. twice. Uh. I also just realized the iMessage sync had still not been completed after three days. iCloud sync seem pretty sketchy to say the least.
No new badges on my AW S5 yet though.
Toggling the health data iCloud sync switch on the 11Pro and then the XS made it sync the 29th as well.
Now, it's just the issue of getting all my badges on the 11Pro. The data is there.