The potentially interchangeable components are "(but) the challenge is" and "(but) the thing is", not "challenge" and "but the thing is". "the thing is" (in the sense you intend it) is a somewhat informal expression, usually introducing a caveat, objection, difficulty, etc. In certain contexts it might be understood to mean something approximating to "the challenge is".
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Wonder123The task is very easy the challenge/but the thing is to get the task.I'd say it differently. I'll have to guess what you mean to some extent.
Wonder123All the items are available as expected but the challenge/but the thing is
GPY"The task is very easy but the challenge/thing is to get the task."Sorry, it should have been like below.