You eventually get to a point where you get assigned these challenges (kill X many people with Y, or get Z types of kills etc etc) for each planet or event (strikes/crucible etc).
I've completed a bunch of them, but unlike the first time they introduce challenges with Ikora and she rewarded you via a milestone for doing challenges, the ones I've finished since then just sit there when I open the director.
Do we earn anything from doing these? Is it only milestone? Can I turn them in somewhere to earn something?