That happens to me sometimes. Try syncing again. If I sync several times in a row my steps tend to show up eventually. It's not ideal, but it seems to work.
This is my first try at posting to a forum so I'll apologize in advance for any mistakes I'm making. I updated Connect on my iPhone 5c to the new "Snapshots" version and the step Challenges have vanished. Can't find them anywhere. Any help would be greatly appreciated.