When I get a response challenge, I get the enemy fleet but mine is missing. I have no way of knowing what fleet they are responding to. Is this normal?

yes it is. if you want to just replay your fleet against it, just load your fleet that you used in the challenge.
generally people then want to tweak that fleet to beat the retaliation.

Of course this assumes that you saved the fleet that you deployed for the initial challenge, which I usually forget to do.

This is also unpractical if I have multiple saved fleets but there’s no way to know which one is the one that the retaliation was used on.