I do think that Millennials (in general) are screwed financially and that 9/11 must have had a massive effect on them. However, I don't think that it was necessarily more scarring than slightly older people had to grown up with.
I was born in the 70s (Yes, I'm that old...)
We grew up with the Falklands War. It must be hard to imagine, but it was full scale battles being reported on the evening news. It was footage of battleships in flames, the carnage of Goose Green, and pictures of wounded British soldiers.
We also had the Miner's strike. My local area saw confrontations between police and strikers, my school had to shut because we had no coal, and kids in my class went on free school meals.
And we had a domestic bombing campaign by the IRA. Again, where I grew up there was real sectarian tension.
And don't forget the real fear of the USSR blowing us to bits. We watched educational films about what to do when the bomb dropped.
And then the utter utter horror of the footage of the war in the Balkans.
These were the realities of a child in the 80s and early 90s.
So we had a war, a hugely corrosive strike, bomb threats, being taught what to do if we had a nuclear holocaust, and a televised genocide.
I'm sure someone born in the 60s would have a list like this as well.
So I don't think that you can claim that you are a special generation when it comes to the affects of traumatic world events on your childhood.