Hey OP, wanted to chime in here when I saw this.
JMO/SA Grad to Management Consulting is a common transition path that I've seen. I'm a SA alumni myself and lived in NYC for 4 years, met tons of fellow grads who went onto MBB, IB, or the Big 4.
Recommendations for Military Assignments: Pilots are looked at extremely favorably for top B schools, but you'll of course have a 10 year commitment. You're young now, and things may change where you want to get out at 5. Just something to keep in mind.
In-Service Benefits: You can get your first GRE and GMAT reimbursed by the military when you are on Active Duty, and those scores stay good for 5 years. This is about a $500 benefit you're getting from being AD. I'd recommend studying for it in between years 0-3 of AD, then taking the GMAT and GRE around year 3-4. That will give you some leeway with applying to B schools as well as another few years if you want to go into the workforce prior to B school (Recommended for reasons below).
Good Org that Helps with Mentorship is Service2School. Has a great guide on MBA:
https://service2school.org/
Post 9/11 GI Bill: My Academy class received this at our 5 year mark, but most others need 8 years of service. Keep this in mind, as staying on for 8 years may be beneficial to you if you want to get school paid for for free. Most top MBAs are tuition free for veterans thanks to the GI Bill and Yellow Ribbon Program.
Post-Service Transition for Finance: Keep in mind what you want to do post-service. For instance, one of my roommates in Manhattan was a UPenn grad who worked in Investment Banking at a Bulge Bracket, now is a Private Equity Associate out in London. She'll be attending HBS in 2022 after the pandemic (hopefully) clears up. If you have any interest in PE I'd strongly recommend trying to go work as an analyst at an IB prior to B school/after service. It's pretty much to transition to PE post-MBA unless you have any financial experience pre-MBA (most JMOs don't). IB is sell side and PE is buy side. Way better to be on the buy side. If you wanted to get into a quant role at a hedge fund very possible with an undergrad in OR and/or supplemented with a masters in statistics
Consulting Firms: For Big 4 and MBB, an MBA is most likely going to be needed for Management Consulting. Burn out can be pretty high in the consulting field. I'm at a boutique firm that partners with a multitude of Big Tech companies, and under normal circumstances I'd be spending 80% of my working time at a client site and in hotels. It's been great since I have no children, but could become challenging for one who wants to settle down.
Sky is the limit, enjoy your time in service, and always, always, always be preparing for your transition. Seems like you've got a great head on your shoulders like most Service Academy grads I've met. During my time in there were wayyy too many people who are/were scared to leave. I miss aspects of being in but really enjoy the flexibility of living where I want, actually having work skills, etc. Feel free to DM me anytime