There are all kinds of challenges during initiate and delivery a project. In my opinion, top challenge is in some organization, project managers not involved on justify process such as why this initiate is selected and why is achievable and attractable. The gate review process does not exist or not proceed correctly. He/she is just be assigned to deliver the project senior leaders or committee already made decision. Unfortunately, if the decision is not right. Then the project manager will face most challenge time, as the one holds the last bar in the relay, he/she will be complaint for the project cannot delivery successfully or cannot realize benefits as expected.
In my opinion, this situation cannot be fixed in short time as it is organization governance issue. But as a project manager, you can still get supporting from senior leaders or PMO to try to be involved in early stage of initiatives, honest feedback your worry and professional feedback of new project as early as possible, manage stakeholder's expectations and keep all record to protect yourself. And finally, trying to improve maturity of project management of organization step by step.