@PriOn1 I don't accept that Sirius died so I don't have much of an analysis to offer.
But I think the veil is never explained because death is unknowable. It is in the Department of Mysteries and each room represents an element of the universe that the unspeakables are researching: there is prophecy, time, the brains (thought?) I think there might be a locked room where they study love, and then there is the veil - which is death. Whether the unspeakables are studying the veil itself or if they are studying death by using the veil, I'm not sure.
There are never any answers because there can be no answers to death while you are alive. So the loss of Sirius with no body and no explanation represents not just the finality (from this side at least) but also the mystery.
The way Harry and Luna (who have lost people they loved) can hear voices beyond the veil, while those who haven't lost someone can't, suggests a continued connection between those who died and those who still love them. This echoes what Dumbledore tells Harry back in book one and suggests that - while Dumbledore can't know about death - he has one of his very good ideas, which tend to be accurate. And he is proven right in Deathly Hallows, when Harry uses the resurrection stone to bring back his parents and Sirius just before his own sacrifice.
The resurrection stone is the opposite number of the veil, it brings back shadows of the dead to the land of the living. Although the veil represents the unknowable nature of death, the resurrection stone (when used for non-selfish reasons) represents a form of hope. The Sirius who falls through the veil is old before his time and broken, he is frustrated and suffering and has lost almost everything that matters to him. The Sirius who comes back via the stone is "tall and handsome and younger by far than Harry had ever seen him", in death he has been renewed and made whole again - he has found his redemption.
The books are actually very death-positive, if such a thing exists, in that they are very clear on the need to respect the natural order of things and that things that are natural need not be scary. Dumbledore says "to the well organised mind, death is but the next great adventure", but Voldemort has destroyed his soul and committed unspeakable evil in order to avoid dying. The irony being that, in splitting his soul, he makes death something he needs to fear. The importance of a complete soul, gained by living a good life, so that one might "greet death as an old friend and depart this life as equals" is an ongoing moral throughout the series.
Sirius's death and subsequent (very brief) resurrection show us he had nothing to fear, his soul was intact, his death was "quick and easy as falling asleep" and his coming back shows us that death is never truly the end for those who are loved. His return gives us hope.
But at the time, from Harry's perspective stuck on this side of the veil, he only has grief and regret, a sense of unfairness and not being able to understand - and it is to underline how the living cannot understand or comprehend death that the veil is never given an explanation. We can only guess at it, and explain it away in ways that make personal sense to us, without ever knowing if we are right.