This is difficult but there is sort of a workaround. When you are playing a challenge, you can play on any difficulty as long as you quit and save progress from the pause menu during the last song. When you return, you select your difficulty and this time select Expert. This will count as you completing the challenge on Expert. Obviously you need to at least be able to do that song, but at least you can take a break or try on a different instrument if you’re struggling.
One thing I haven’t seen mentioned enough by others when I’ve looked this up is that once you have completed a challenge you can no longer quit and save progress. So if you’re already deep in your tour career, it’s probably easier to start a new band and just focus on challenges this way.
My advice is to do as many challenges as possible on whatever difficulty you’re comfortable with, then save and back out on the final song. Then you can just come back to each one when you’re able to do the last song on Expert.