That is unusual. Usually when you complete the scenario you get a large pop up congratulating you that you won, and you should receive a trophy for it as well.
You can report any anomalies such as this here: http://warlight.net/ReportBug
. Hopefully that doesn't happen to you again. The Europe Challenge is pretty simple once you get a hang of how the AI plays, so if you try again I wish you the best of luck and hope it awards you the victory. :)