You can sometimes see this in Festival Plaza "battles", otherwise it's in Pokébank :(
You can check here:
https://www.pokecommunity.com/showthread.php?t=389693
I've seen riddles in previous challenge, and stuff like that ^-^; and I mean, obviously if you enter and don't like it you can leave, or just refuse to do a challenge, it's not like if you're selling your soul :P