Is the actual VMC to IMC transition a challenge (for IFR rated pilot/craft etc) if, say, sudden or unexpected?
If you are an IFR pilot hand flying in VMC and suddenly your horizon reference disappears, or becomes untrustworthy (flying over sloping terrain in low visibility, or flying between cloud layers that are sloping), you do have to make a conscious mental transition from external scanning to internal scanning and it will increase the stress level slightly when you're new, but this declines as you get experienced doing it and it eventually becomes a non-event.  

This is mainly because if you are flying IFR a lot, especially commercially, you will be doing this all the time on departures in instrument conditions, where you take-off visually, looking outside, and immediately enter cloud, often even before it's time to engage the autopilot (you wouldn't really want to to do a lot of IFR flying without one).  So effectively you have to make that VMC to IMC transition on every departure in IMC weather that you hand fly while entering cloud and you get used to the look-out-to-look-in transition pretty fast.

So I would say the answer is yes to a new pilot, but quickly becomes no, once experienced a bit.  That being said, "grey area" conditions, like I mentioned at the start, where you need to go on the gauges even though there is still a view outside, would be more of a challenge compared to just charging into cloud where the view goes from green to grey instantly and the distraction of a misleading outside view isn't there. That requires a bit more concentration and self discipline to ignore the view outside, and therefore a bit more experience to drop the stress level of the transition.  But still, after doing it a number of times, it should be no big deal.