Scenarios can be made quite challenging, if that is the scenario creator's intent. Scenario creators could fill the gap left by shortcomings in challenge mode if there was an audience for it. I'm not sure there is much of an audience for it. The game is literally a "walk in the park." That seems inconsistent with nail-biting tension.
Nevertheless, you can tweak scenario difficulty to match your tastes. This might be a good alternative for you.
Ramping up difficulty
Start with a lack of cash, a big loan, locked scenery, and few rides. That's the "old school" way to make a hard scenario. Given all the enhancements Frontier introduced to the game, that approach seems shallow now.
Scenario goals for hotels, staff, coaster characteristics, fireworks, guests, the park, and controlling crime can all increase difficulty while enriching game play.
In a big park...
* Security cameras become expensive to run.
* Shops, staff buildings and work rosters become more challenging.
* Getting a large number of guests to watch fireworks may mean having multiple fireworks locations.
* You won't get by with just one hotel if guests are spread out all over the place.
Guests can be configured in the scenario editor to make them difficult to deal with.
The number of guests can be limited. I lost one scenario and had to restart because of this. The scenario placed a hard limit of 600 guests and had an inefficient layout. The first time I played I went bankrupt.
The problem for me personally is that increasing difficulty too much means that micro management is needed to "win", and for me that becomes tedious and not at all fun. Seriously, is it fun to hire a mechanic the moment a ride breaks down and fire him as soon as it's fixed? Not for me. As someone who has created scenarios since RCT2, I've tried to avoid making scenario objectives a tedious grind, but still provide some challenge and entertainment. I also want to make sure the objectives can be completed before the game's frame rate goes to zero.
I've played all the scenarios that come with the game and quite a few made by players. There is a wide range in difficulty among them. There is also a wide range in game play experience. I found I did not play them all the same way. For me, this provided play value.
In my own play I've noticed that the harder the scenario, the uglier the park looks at the end. If I have to harvest the scenery, jam everything together, and use scenery solely for ride enhancement, the park takes on a certain unattractive look. By the end, I don't want to ever see that park again. While I want some challenge, I also want some aesthetics.
All that said, based on the activity in this forum, it appears that the vast majority of players have concluded that game play is so lacking that neither challenge mode nor scenarios are of interest. A number of the game's updates have offered enhancements to scenario objectives - staff features, crime, fireworks and hotels - but as far as I can tell, these features have done almost nothing to appease criticism. If I were Frontier, this would discourage me from further attempts to improve game play experience.
My solution, for what it's worth
What I've done is create scenarios for my own entertainment. I make them challenging enough to suit my tastes. If I don't enjoy them, it's my own fault and they will never be seen in my workshop. If I like my own scenario, I tweak it "as needed," provide a story to go with it, and upload it to my workshop - two so far. This approach may work for you. You may find other people with tastes similar to yours, and get to sample their work too, if you're lucky.
Who knows? You may even become known as THE player who makes really hard, but fair scenarios. More likely, though, your scenarios will be mostly ignored like all the others. But if you are doing it for your own entertainment, no worries.
Cheat sheet: A quick way to make a scenario is to take a park you like, delete and/or lock most of its improvements, then create a set of objectives, research tree, etc., in the scenario editor. You can quickly lock everything - select multiple items and click the "lock" icon in the scenario editor and the selected items are locked when the scenario is played!
If you use somebody else's park as a basis for your own scenario and put it in your workshop, be sure to credit the original park creator!