Then I must be missing something, because I could've sworn that I've seen every fighter's Final Smash at least once.
Try the following:
1. Training Mode
2. Start with any character of your choosing (I did Mario first then went left to right so that I could guarantee the challenge would unlock)
3. Choose a random stage (just keep the cursor on random) or choose your favorite stage
4. Do the entire final smash animation (includes transforming back for characters such as

and

)
5. Choose a new character (different from the ones chosen previously)
6. Repeat until the challenge unlocks. (As stated, Mii's apparently don't count towards the challenge. Do them at your own discretion)
If that doesn't work, then I don't know what else needs done (unless Mii's actually count towards the challenge).