When adding a new donor challenge, you may want to set up an internal source rather than an external source. When doing so you will see that the internal sponsor dropdown list is blank, and that you cannot add to the list by typing in an entry and hitting the "Tab" key on the keyboard.
Chat with Support and reference this article so Support can add the fields you need for Internal Sponsor.
Steps to Duplicate
Select the Fundraising tab
Click "Add a donor challenge"
Change "Funding Source" from 'External' to 'Internal'
Type into "Internal Sponsor:" field and hit tab.
Altru does not add an "Internal Sponsor" to the list.