Your Challenge is a smaller (solvable) chunk of your company-wide strategy. The purpose of a Challenge is to help you reach your goals. Think of them as a shared steering wheel within the company.
When you use OKR's, use the Business Challenges as the Objective.
Being customer-centric means looking at the Challenge from the customer's perspective. With the Challenge, you start from a place you know best: your business. Once you define a Challenge, you know what's in and out of scope, and you can start innovating.
A good Challenge:
Defines what you aim to achieve
Specifies by when you want to achieve the goal
Is a smaller part of the company-wide strategy
Focusses you and your team around the same business objective
Planning how to hit Challenges provide an excellent opportunity to do some innovative thinking.
Learn how to create a Challenge here.