Have you looked into the Activity widget on the phone?Nope it's nowhere, phone or watch.
On your iPhone, go to your Activity widget (you can search for it) > Scroll down to Awards > touch Show More > Scroll to Monthly Challenges > in the lower right-hand corner of the tile touch Show All. You should now be in the Monthly Challenges screen. There should be a grayed out icon for the October Challenge next to the previous months.