The Challenge Set, TimeSplitters Story Classic, can be found in TimeSplitters 2 and TimeSplitters Future Perfect. The Set is a homage to the original Story Levels of the original TimeSplitters, which consisted of starting at one point of a level, going throughout it to collect an item and reaching a designated location, usually found at or near the start of the level.
In TimeSplitters Future Perfect there is a large change in the way the levels work. You now have to kill all enemies in an area before progressing, which stops the frantic running through trying not to get hit method used in Timesplitters, and in TS2's story classic. Some would say this makes the mode less interesting. Unlike in TimeSplitters 2, none of the levels make you return to the start of the level.