What are the biggest challenges Veterans face going into the Project Manager career path?

The biggest challenges are probably 1) articulating their military experience into private sector terms and 2) articulating their credentials without an accompanying degree or certification. If they have a degree and/or certification, they know the language (which solves #1) and won't have people questioning their credentials (which solves #2).

I'll chip in the "Mental Game" aspect. Our organization has taken in many MIL engineers to be construction design managers and project managers. It can be a shock to take say a recent O-3/O-4 and tell them they need to function and think like a Skipper and your job is to make this $7M thing appear and BTW do primary award before the end of the FY. What am I responsible for? Everything. I'm not a financial type. You're still responsible. Who works for me? Everyone that contributes to the completion of your project. But I don't do their timecards. You're responsible for their performance. (Start the MIL culture gag). You need to take action to correct or have corrected for you to problem that's inhibiting the project. Know when to engage your boss to help. Part of a good PMs' make up is a broad perspective of all the gears and how they should work together. That typically isn't taught prior in this age of specialization. So you have to learn enough about finance to understand if the bean counters are getting their stuff taken care of that supports your project. Same with legal. Same with insurance. Same with suppliers. Same with labor force. Same with the Admim types and the pile of restrictions you have to deal with. So the big challenge is acceptance of the total responsibility aspect. You can't run and hide. You're very visible. You have to absorb the body blows. And your reward for doing a great job? Do it again, quicker, better, cheaper. What have you done for me lately? Eeyore need not apply.

Another consideration is that Project Managers are also managers of people, and managing a civilian fresh out of college is much different than managing a squad/platoon/company/etc. I found that to be one of the biggest challenges. Solider's can be effectively managed in a way civilian professionals cannot. It's not a good or bad thing, it's just different.