Bonus Challenge Levels appear only in the Collector's Edition of Royal Envoy 2, and can only be played after you have completed all 63 levels of the basic Adventure. Challenge Levels are not available in the Standard Edition of the game.
The Windows 8 "Special Edition" version of Royal Envoy 2 has additional bonus levels and achievements which are exclusively available only in Windows 8 version of the game. We don't cover those on this site.
You do NOT need to get 3 Stars on all Adventure levels in order to play the Challenge levels.(1)
There are not any specific Achievements for completing Challenge Levels.(3)
And we KNOW about the bug in Challenge Level 25.
[November 23, 2011 Update: Playrix released a patched version of the game that fixes this bug "and other issues".]