I've never needed to have a difficult conversation with my managers, but some of them have needed to have difficult conversations with me. Most of the difficult conversations have been related to performance but rooted in politics (management at my company does not follow the HR set policies and has a very opaque rating process).
If I did need a difficult conversation with my manager, then I would start the transfer of job search process. One thing I have found in the 9+ managers I've had is that they either don't the power to make the change, or they don't care. As a non-manager, I am completely powerless and would need to move to a team with a better manager to find a better atmosphere.