I just completed my 2nd challenge rift of the season, and have been unable to collect it for either one of them. The first one I assumed I forgot to talk to Edira, but this one I’m certain I completed the challenge rift successfully, and talked to Edira before exiting out and starting up my seasonal character. I even created another seasonal character to see if it would show for them, but no go.
I have not played the character other than creating it, and was waiting to collect 2 caches, but as it is, again, two challenge rifts completed, but no challenge rift cache for either one.