Hello Cynthia,
Thank you for reaching out to Microsoft Community, Regarding on you issue/concern "What is a "challenge phrase"?" well When Windows detects suspicious login behavior (like repeated incorrect PIN entries or biometric failures), it may prompt you to enter a challenge phrase before allowing access to other sign-in options. This acts like a simple CAPTCHA to confirm you're human.
You can just enter the phrase as exactly as shown on the screen, You should then be able to access your PIN, password, or other sign-in options.
are you having trouble to sign in?
Please let me know if it works. I await your response.
Warm regards,
JayMark.D | Microsoft Community Support Specialist