Do cycling, swimming or yoga count in my challenge?

It depends on what your challenge measures. In a step challenge they add few or no steps, but in a workout-minutes challenge any recorded workout counts.

Check what your challenge measures on its Info tab.

• Steps: phones and watches count few steps for cycling, swimming or yoga. If manual entry is on for you, turn the activity into steps with the Activity converter and add the steps yourself. See How do I add activity by hand?
• Exercise minutes: any workout you start and stop on your watch or app counts.
• Points or habits: your organiser decides which activities give points. Tick off habits in the app each day.

YuMuuv only reads the one integration you connected, so record the workout on that device or app.