The WCW vs nWo: World Tour manual says that league challenge culminates at the group's major event (WCW Starrcade, nWo Souled Out, Dead or Alive's "Final Blast", or the Independent Union's Grand Prix Championship (with a little graphic making the IU / IWPG comparison a lot clearer).
I think that aspect of the league challenge got cut, or I just don't remember it.