I've unlocked veteran as well but are there any other benefit besides the veteran dialog options in the training area?
That's the only difference I've noted.
[Edited by Aeterna85, 6/5/2010 6:50:13 PM]
The 'Grey Box' portion at the start of the game is slightly more challenging because the guards are have heighten awareness which makes sneak attacks more of a challenge and the first guards you come into contact with have guns where as they are otherwise unarmed.