Despite all that, I never hear back from places I applied to. I'd really like to work at a FAANG (especially Microsoft), and it feels like I'll never get there. I thought that by going to grad school I'd kind of jump-start my career in that direction, and instead I'm doing work in SAS for an insurance company. Meanwhile, I'm watching friends who went to a 3 month bootcamp get jobs as data engineers (which is what I'd like to do), and folks I trained at previous jobs go on to become directors of analytics.
What am I doing wrong? I kind of think I need to go back to the drawing board, as I wonder if I'm just not an attractive candidate.
Try networking with some of those MS people you'd be looking to work with.
It could be that you need to select and prioritize your experience in your CV in such a way that tells the recruiter "I know what you're looking for and I've got it right here".
And even after you got that perfectly, somebody else still could snatch that job from you.
Not trying to sound deep or anything, just want to encourage you to try again :)