I’d imagine some things are different in Equestria than here, but the principle is the same. In a perfect world, there would be no war and I would think there would be fewer conflicts in the pony world. But as the Yaks proved, not all others share the ponies’ peaceful mindset. Combined with all the raging monsters roaming around, even Equestria would need a standing military. Though Celestia tries to prevent war, sometimes she must make the horrible choice to send some to fight and protect the rest of the nation’s citizens. The lives of a few given to save the lives of the many.
That doesn’t stop ponies from hating her for it, though. They may not know all the factors in the decision to fight, but they do know the pain of losing someone they love. So they blame Celestia for it. Celestia takes the abuse on the chin and, in private, probably gives herself some mental abuse with the endless What-ifs, if-onlys and just general regrets for the times she wish there had just been a better solution.
As for the holiday itself, Canterlot, being the capitol, would host the largest parade with the veterans parading up the streets to the gates of Canterlot Castle. There, they are greeted by Princess Celestia who says a few words of deep gratitude before removing her crown, setting it at their hooves and bowing before those she asked to endanger themselves in her service.
The other princesses would host other parades elsewhere, but it’s important that Celestia be the one to host the largest parade. She’s the one who’s governed the longest and through the most conflicts.