Mostly the level of secrecy involved, I think. And not everything that agents do is actually fighting anyone, though that's definitely part of it. Some of it is espionage, though. Soldiers can be secretive, sure, but it's a little different. I suppose it depends on what sort of soldier you were, though.
It does, it's just different from what I'm used to. They have terrorist organizations and alien attacks instead of demonic apocalypses, basically. The latter is way more my area of expertise than rooting out the bad seeds in a government agency.