Shshsh

It seems to me that Veil has a "protector" role in Shallan's system: she comes out when Shallan herself cannot cope with what's going on in her life, as we can see here in Chapter 9 "Please, she whispered. Save me. Veil reluctantly emerged. She sat up, not pulling against Adolin any longer—and he seemed to understand, shifting his position in the seat. He had an uncanny ability to tell which of her was in control. “We’re trying to help,” Veil said to him. “And we think that this year has been good for Shallan, overall. But right now, it’s probably better if we discuss another topic.”" From what I understand of DID, it's not uncommon to have an alter that functions as a sort of "manager", deciding who amongst them "comes out" at any given time, who remembers specific events from the past etc. Even if Veil is not the alter that is out most of the time, she might be the one that does the most work behind the scenes, and the one that is the most capable of dealing with their trauma.