Yes Red, the Challenge packs are meant for the Second Season Male Base, so it doesn’t work with all the other characters.
And challenge packs don’t show in the first list because that list is a list of base character so it doesn’t display special effects or companions. You need to select a base (male) character first and then you can pick a companion or an SFX.
However, you don’t need to load everything like I said. One character is enough, although what’s good for the goose is good for the gander… if you got everything it’ll work just fine. 🙂