“What are the challenges with migrating from an on-premise solution to a cloud-based solution?”
Primary challenges would be Internet bandwidth for the service and possibly content security. Neither of these should be a big issue. If the signage vendor has a cloud-based option, then you can make the jump easily. However, if you are transitioning everything to the Microsoft cloud or Amazon AWS yourself, then there will be a learning curve for creating the media storage and content management portion of your on-premise setup.