There is a bug with the seasonal challenges showing an "Unclaimed Challenge" when there is no unclaimed challenge. This first popped up for me weeks ago when I was in the Dreaming City and I saw a challenge or triumph pop up at the bottom of the screen (I think something to do with "defeats" or "kills" in the Dreaming City). I have no unclaimed triumphs for Dreaming City, and the marker for seasonal challenges has not gone away. I have waited a few weeks to report this one because I was waiting to see if it was going to show up in a future week.
EDIT: To add to this, this is showing up regardless of platform (i.e., it shows up whether I play on PC, or Xbox, or Stadia).