I think the key component to challenge is error feedback. It goes in many directions. Failing a section is a way of feedback. I definitely feel cheated if I perform a Charlie Foxtrot in a game and still manage to pass the area intact, when I mess up badly I should have to retry the part. However I feel similarily cheated if I fail when I cannot see what I did wrong. E.g. in Street Fighter 2 20th anniversary I can't even beat the second level on easiest difficulty and I have no idea what I'm doing wrong so I cannot improve, as a result I don't want to play the game anymore.
Another important component is the punishment for minor fuckups, if making one tiny error means you have to replay the last 15-30 minutes of the game (possibly including cutscenes) that's not just hard, that's effing sadistic. It's the reason I stopped playing Final Fantasy X, being stuck at a boss that follows a 15 minute cutscene. I just am not willing to watch a 15 minute cutscene EVERY SINGLE F###ING TIME I fight that guy. Also that boss can wipe my whole party in one round so I don't feel like playing that battle at all.
All this is the reason I hate stealth. In stealth games you don't just lose a few HP when you're found, you lose the whole mission. You don't even see a clear border for when you fail a stealth mission, there's an invisible radius you can be heard in, an invisible area you can be seen in, etc. You get into a place you didn't even know was bad and you fail immediately. That's the reason I kill every enemy in a stealth sequence, to defuse the invisible fail triggers. If that doesn't work I just give up and play another game instead, there's enough choice.
As I said before, make the guards shoot laser cones from their eyes that hurt you when you're in them instead of triggering an alarm and I might play the game.