Python3, 326 bytes

from itertools import*
E=enumerate
def f(b):
 d={(x,y):v for x,r in E(b)for y,v in E(r)}
 q=[]
 for i in permutations({*d.values()},4):
  for j in d:t={**d};q+=[(*j,t.pop(j),dict(zip(i,[(0,1),(1,0),(0,-1),(-1,0)])),t)]
 for x,y,D,M,d in q:
  t={**d}
  if{}==t:return M
  X,Y=M[D]
  if(D:=t.pop(V:=(x+X,y+Y),0)):q+=[(*V,D,M,t)]

Try it online!

APL (207)

I couldn't make it shorter than Mathematica, because I couldn't reason in terms of TopologicalSort and such. Smarter people are welcome to squeeze it further.

Golfed:

{u←∪,t←⍵⋄q r←↑(0≠+/¨r)/⊂[2]p,⍪r←{m←,⍵[u⍳t]⋄v r←⊂[1]⊃{{(↑⍴∪⍵),⊂(↑⍵)(↑⌽⍵)}n↑{3::⍬⋄i←↑⌽⍵⋄⍵,i+i⌷m}⍣n,⍵}¨⍳n←↑⍴,t⋄↑(v=n)/r}¨p←⊂[2]{1≥⍴⍵:⊃,↓⍵⋄⊃⍪/⍵,∘∇¨⍵∘~¨⍵}d←¯1 1,¯1 1×c←¯1↑⍴t⋄⊃('←→↑↓',¨u[q⍳d]),{1+(⌊⍵÷c)(c|⍵)}¨r-1}

Ungolfed:

D←{⎕ML ⎕IO←3 1
    pmat←{1≥⍴⍵:⊃,↓⍵⋄⊃⍪/⍵,∘∇¨⍵∘~¨⍵}   ⍝ utility: permutations of the given vector
    u←∪,t←⍵                    ⍝ the 4 unique symbols in t←⍵
    n←↑⍴,t                     ⍝ number of elements in t
    d←¯1 1,¯1 1×c←¯1↑⍴t        ⍝ the four ∆i (+1, -1, +cols, -cols)
    p←⊂[2]pmat d               ⍝ list of permutations of the four ∆i
    r←{                        ⍝ for each permutation ⍵∊p (=interpretation of the 4 symbols)
        m←,⍵[u⍳t]              ⍝ (ravelled) t-shaped matrix of ∆i, using interpretation ⍵
        v r←⊂[1]⊃{             ⍝ for each starting index ⍵∊⍳n
            v←n↑{              ⍝ trail of visited cells after n steps 
                3::⍬           ⍝ if index out of bounds return empty list
                i←↑⌽⍵          ⍝ take last visited index
                ⍵,i+i⌷m        ⍝ follow the directions and add it to the list
            }⍣n,⍵
            (↑⍴∪v),⊂(↑v),↑⌽v   ⍝ number of unique cells, plus start/end indices
        }¨⍳n
        ↑(v=n)/r               ⍝ 1st couple of start/end indices to visit all cells (if any)
    }¨p
    q r←↑(0≠+/¨r)/⊂[2]p,⍪r     ⍝ select first perm. and start/end indices to visit all cells
    ⊃('←→↑↓',¨u[q⍳d]),{1+(⌊⍵÷c)(c|⍵)}¨r-1   ⍝ return char mapping and start/end indices
}

Examples:

(Indices start at 1)

     D⊃'122221' '131414' '231342' '144213' '222323'
 ←  4 
 →  2 
 ↑  3 
 ↓  1 
 1  1 
 3  6 
     D⊃'@..' 'e.@' 'HH@'
 ←  . 
 →  H 
 ↑  @ 
 ↓  e 
 2  2 
 1  1 
     D⊃'XXV' 'ICV' 'XIV' 'VCC' 'XXX'
 ←  C 
 →  X 
 ↑  I 
 ↓  V 
 3  1 
 5  3 

Mathematica (151)

L = {{1, 2, 2, 2, 2, 1}, {1, 3, 1, 4, 1, 4}, {2, 3, 1, 3, 4, 2}, 
   {1, 4, 4, 2, 1, 3}, {2, 2, 2, 3, 2, 3}};

PathGraphQ@#~If~Print@{TopologicalSort[#]〚{1,-2}〛,r}&@
Graph@Flatten@MapIndexed[#2->#2+(#/.r)&,L,{2}]~Do~{r,
Thread[Union@@L->#]&/@{-1,0,1}~Tuples~{4,2}}

It returns start point, end point, and transition rules. The first index is row, the second is column

{{{1,1},{3,6}},{1->{1,0},2->{0,1},3->{-1,0},4->{0,-1}}}

Note that my code works even with {-1,0,1}~Tuples~{4,2}. For speeding up you can use Permutations@{{1, 0}, {0, 1}, {-1, 0}, {0, -1}} instead.

Mathematica 278

Spaces added for "clarity"

k@l_ := (s = #~Join~-# &@{{1, 0}, {0, 1}};
         f@r_ := Flatten[MapIndexed[#2 -> #2 + (#1 /. r) &, l, {2}], 1];
         g     = Subgraph[#, t = Tuples@Range@Dimensions@l] & /@ 
                       Graph /@ f /@ (r = Thread[# -> s] & /@ Permutations[Union @@ l]);
        {t[[#]] & /@ Ordering[Tr /@ IncidenceMatrix@g[[#]]][[{1, -1}]], r[[#]]} & @@@ 
                                                                 Position[PathGraphQ /@ g, True])

Session & Output:

 l = l1 = {{1, 2, 2, 2, 2, 1}, {1, 3, 1, 4, 1, 4}, {2, 3, 1, 3, 4, 2}, 
            {1, 4, 4, 2, 1, 3}, {2, 2, 2, 3, 2, 3}}; ;
 k@l1
 {{{{1, 1}, {3, 6}}, 
    {1 -> {1, 0}, 2 -> {0, 1}, 3 -> {-1, 0},  4 -> {0, -1}}}}

Which is the start Vertex, End Vertex and the transition rules associated with each symbol.

Here is the complementary code to show the oriented graph:

sol = sg[[Position[PathGraphQ /@ sg, True][[1, 1]]]];
Framed@Graph[
  VertexList@sol,
  EdgeList@sol,
  VertexCoordinates -> VertexList@sol /. {x_, y_} :> {y, -x},
  VertexLabels -> MapThread[Rule, {VertexList@sol, Flatten@l}], 
  EdgeShapeFunction -> GraphElementData["FilledArcArrow", "ArrowSize" -> 0.03],
  ImagePadding -> 20]

C#

EDIT: Fixed a division and formatting. And added the helper class.

This is the golfed code, 807 chars

class M{public int c,x,y,u;}
void G(string[] z){
M K;int[]x={0,0,-1,1},y={-1,1,0,0},I={0,0,0,0};
string[]T={"Up","Down","Left","Right"};
int X,Y,R,n=0,H=z.Length,W=z[0].Length;W-=W/2;var D= string.Join(" ", z).Where(c=>c!=' ').Select(c=>new M(){c=c,x=n%W,y=n++/W}).ToList();n=0;var S=D.GroupBy(k=>k.c).ToDictionary(k=>k.Key,k =>n++);
for(;I[0]<4;I[0]++)for(I[1]=0;I[1]<4;I[1]++)for(I[2]=0;I[2]<4;I[2]++)for(I[3]=0;I[3]<4;I[3]++){
if ((1<<I[0]|1<<I[1]|1<<I[2]|1<<I[3])!=15)continue;
foreach (var Q in D){D.ForEach(p=>p.u=-1);R=1;K=Q;j:if((X=K.x+x[n=I[S[K.c]]])>=0&&X<W&&(Y=K.y+y[n])>=0&&Y<H&&(K=D[X+Y*W]).u<0){
K.u=1;if(++R==D.Count){Console.WriteLine("{4} Start({0}:{1}) End({2}:{3})",Q.x,Q.y,K.x,K.y,string.Join(", ",S.Select(k=>string.Format("{1}: '{0}'",(char)k.Key,T[I[k.Value]])).ToArray()));return;}goto j;}}}
}    

Results for the three test cases:

Down: '1', Right: '2', Up: '3', Left: '4' Start(0:0) End(5:2)
Up: '@', Left: '.', Down: 'e', Right: 'H' Start(1:1) End(0:0)
Right: 'X', Down: 'V', Up: 'I', Left: 'C' Start(0:2) End(2:4)

This is the raw code without "golf", almost 4,000 characters:

class Program
{
    static string[] input1 =  { "1 2 2 2 2 1",
               "1 3 4 4 1 4",       
               "2 3 1 3 4 2",
               "1 4 4 2 1 3",       
               "2 2 2 3 2 3"};

    static string[] input2 =  { "@ . .",
                                "e . @",       
                                "H H @",
               };

    static string[] input3 =  { "0 0 1",
                                "0 0 1",       
                                "3 2 2",
               };

    static void Main(string[] args)
    {
        Resolve(input1);
        Resolve(input2);
        Resolve(input3);
        Console.ReadLine();
    }


    class N { public int c; public int x, y, i, u; }

    static void Resolve(string[] input)
    {
        int[] ox = { -1, 1, 0, 0 }, oy = { 0, 0, -1, 1 }, I = { 0, 0, 0, 0 };
        string[] TXT = { "Left", "Right", "Up", "Down" };
        int X, Y, R, n = 0, H = input.Length, W = input[0].Length;
        W -= W / 2;
        N K = null;
        var data = string.Join(" ", input).Where(c => c != ' ').Select(c => new N() { c = c, x = (n % W), y = (n / W), i = n++, u = -1 }).ToList();
        n = 0;
       var S = data.GroupBy(k => k.c).ToDictionary(k => k.Key, k => n++);

        for (; I[0] < 4; I[0]++)
            for (I[1] = 0; I[1] < 4; I[1]++)
                for (I[2] = 0; I[2] < 4; I[2]++)
                    for (I[3] = 0; I[3] < 4; I[3]++)
                    {
                        if (((1 << I[0]) | (1 << I[1]) | (1 << I[2]) | (1 << I[3])) != 15) continue;
                        foreach(var Q in data)
                        {
                            data.ForEach(p => p.u = -1);
                            R = 0;
                            K = Q;
                            while (K != null)
                            {
                                n = I[S[K.c]];
                                X = K.x + ox[n];
                                Y = K.y + oy[n];
                                if (X >= 0 && X < W && Y >= 0 && Y < H)
                                {
                                    n = X + Y * W;
                                    if (data[n].u < 0)
                                    {
                                         data[n].u = K.i;
                                         K = data[n];
                                        R++;
                                        if (R == data.Count - 1)
                                        {
                                            Console.WriteLine();
                                            Console.WriteLine("Start({0}:{1}) End({2}:{3})", Q.x, Q.y, K.x, K.y);
                                            Console.WriteLine(string.Join(", ", S.Select(k => string.Format("'{0}': {1}", (char)k.Key, TXT[I[k.Value]])).ToArray()));
                                            Action<N> Write = null;
                                            Write = (k) =>
                                             {
                                                 if (k.u != -1)
                                                 {
                                                     Write(data[k.u]);
                                                 }
                                                 Console.Write(string.Format("({0}:{1}){2}", k.x, k.y, k == K ? "\n" : " => "));
                                             };

                                            Write(K);
                                            return;
                                        }
                                        continue;
                                    }
                                }
                                K = null;
                            }
                        }
                    }
        Console.WriteLine("Solution not found");
    }
 }
}

These are the results for the three examples:

Solution not found

Start(1:1) End(0:0) '@': Up, '.': Left, 'e': Down, 'H': Right

(1:1) => (0:1) => (0:2) => (1:2) => (2:2) => (2:1) => (2:0) => (1:0) => (0:0)

Start(0:0) End(1:1) '0': Right, '1': Down, '3': Up, '2': Left

(0:0) => (1:0) => (2:0) => (2:1) => (2:2) => (1:2) => (0:2) => (0:1) => (1:1)