I've played as a Character in Power armor before and as a GM having to deal with it. Frag rockets will mess up his day, the raw damage they put out is killer, and it builds up quickly. Krak, melta, and plasma will ignore most if not all of his armor.
But if you're looking for something to discourage him consider that it takes a space marine, with all their attendants hours to put on the armor and that in a full suite, in battle filed conditions, giving him any kind of medical treatment will be next to impossible. Power Armor is also insanely complicated to take off so he would need a tech priest and a good bit of time to take it off even out of combat.