They mean that the level has a new challenge for you to complete.
The first level asks you to kill the bull with the train, and others ask for a certain amount of points. It seems that some levels may have multiple challenges to complete and others none at all. The object of the challenges is to give players an incentive to replay levels, because they really do nothing once you complete them (not that I know). They're fun and challenging and worth the effort :D
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Add me for Pokemon, New Leaf, and Fire Emblem, Mario Kart 8.







