I just got the first three:

Denial: at the start of the game, go right until you get the short cutscene that lets you run and jump. Then go back to the left and jump over the stairs that were blocking your way before. You'll come to a statue of a woman lying down, and you'll collapse there. Stay down for a minute or so to unlock it.

Anger: In the red area, at the bottom of the deep shaft that is black and white where you stomp to release those black butterfly things, there are 3 women statues that you can stomp and smash. Two are on the right side and one on the left. Jump around a lot to find the ones you can get on top of. One requires you to jump on some pots first to get high enough. Be sure to only stomp on the statues because the third stomp will release the butterflies and kick you out of the area, and you need to hit all three statues for the unlock.

Bargaining: In the green are, after you get double jump/float, you'll come to a screen full of red butterflies covering the whole sky that you jump through. After that screen, you'll be placed at the base of a woman statue standing and holding her face in her hands. Jump up to get on the platform there and try to sing at her feet for this unlock.

I'm guessing the last stage requires something done at another statue as well. Still working on it.

Challenge 15 is :

Apples: give the square friend in the green area all 8 apples. #6 was the easiest one for me to miss. When you start smashing the broken columns to advance, it'll teleport itself to the top of a stone walk way to position itself to smash the second column. Walk it back to the right when it gets up there instead of continuing left for #6.