This kind of question has a plethora of answers. Not because you're a challenge monster or an aggressive strategist means you're winning. You have to work with who you are and what you have.
Look at Sandra. Sandra knows she can't win a challenge to save her life, but she knows the game on a grander scale, that challenges are only there to make your game easier. Why? Because reward are only to improve your well-being, while immunities only guarantee safety. Yes, immunity is important (even dubbed as the most important thing in the game), but it's worthless if you don't have the complimenting social skills, which is Survivor is truly about.
Russell played so aggressively, he ignored the fact that the people he doublecrossed are the same people he needed to convince at the final Tribal Council. But instead of begging his butt off, he still oversell himself. That's why he lost both times. His ego got in his way.
So in my humble opinion, challenges are nothing really. Your social skills matters most.