There used to be challenges in Calories, which is basically the same thing as IM challenges, but Garmin removed them 2 years ago, despite that many users protested (myself including). I think the reason for it was that there were too frequent complaints about the results and leaderboards, keeping the support too busy for Garmin's liking, and costing them a lot of money. The Calories, as well as the Intensity Minutes are greatly depending on user settings, on the device model, and on the way the respective device is being worn and used. Hence it often led to disputes and complaints.
I doubt Garmin would bring it back, exactly for that reason, but you can certainly try suggesting it to them again: Submitting an Idea to Garmin
Personally, I'd tell that a different, more objective system, would have a better chance to be added. For example a combo of disciplines, or the total duration of activities of selected types, or something similar.
It would be great for more types of challenges. For example I like to challenge my family to get out and get into a higher fat burning heart rate zone.
