I detest this notion that the Veil is some manner of invisible "curtain" that separates the world of the living from the world of the spirits (whether it be called the Fade or the Beyond is a matter of racial politics I refuse to indulge in at the moment). There is no "this side" and "that side" when it comes to the Veil. One cannot think of it as a physical thing or a barrier or even a "shimmering wall of holy light" (thank you very much for that image, Your Perfection).
Think of the Veil, instead, as opening one's eyes.
Before you opened them, you saw our world as you see it now: static, solid, unchanging. Now that they are open, you see our world as the spirits see it: chaotic, ever-changing, a realm where the imagined and the remembered have as much substance as that which is real—more, in fact. A spirit sees everything as defined by will and memory, and this is why they are so very lost when they cross the Veil. In our world, imagination has no substance. Objects exist independently of how we remember them or what emotions we associate with them. Mages alone possess the power to change the world with their minds, and perhaps this forms the nature of a demon's attraction to them—who can say?
Regardless, the act of passing through the Veil is much more about changing one's perceptions than a physical transition. The Veil is an idea, it is the act of transition itself, and it is only the fact that both living beings and spirits find the transition difficult that gives the Veil any credence as a physical barrier at all.