Okay, the retaliation missions (basically the old terror missions) are a lot more terrifying all of a sudden.
I got fed up with the aliens blowing civilians away, so I began to get more aggressive with my rescuing. Cue rushing a rookie next to a civilian, a moment of wondering why he was showing as flanked...when the "civilian" revealed itself to be a horrifying 8-foot-tall shapeshifter. Which then took a swipe at my rookie. It missed, but the attack destroyed the roughly six tiles worth of cover said rookie was using.
How Otto Zander survived not only that, but the rest of the mission, I'll never know.
Outside of the two automatic casualties in the tutorial, I've only lost a single soldier so far. I'm worried that maybe Veteran is too easy, but on the other hand the next rank up might be beyond my capabilities. I'm cursing bullshit often enough as it is.