Before listenting to what I say, run these tests.
1. Apply combat challenge. Have the fighter player click "End turn" in the selection window. Does the combat challenge icon disappear from the target?
2. Apply combat challenge. DON'T click "End turn". Instead have the DM click "Next Initiative" in the campaign window. Is the combat challenge icon still on the target?
If the answer to both questions is yes, I believe it's a problem associated with what happens when the "End turn" button is pressed in the selection window. I seemed to fix it by following the suggestions in this thread
Caveat: That code seems to fix the issue for me, but I haven't had a chance to "expose the fix to the enemy" (ie. my players) yet.