It's mentioned a few times that Manny is working off a 'debt' at the DOD. I think one of the most interesting unanswered questions in Grim is, what exactly did Manny do wrong in his life to deserve this debt?
The story is cooler for never telling us and maintaining the mystery really. A similar thing that springs to mind is in the film Pulp Fiction, we never see what's in the briefcase. Leaving little things like that to the imagination is always neat.