Why the veil?

[anagogy]

How is there free will in higher densities without the veil?

Consider the fact that even if you are 4th density being, you can change polarity if you really want to. Prior to the development of an individuated personality (an ego), you perceive yourself as merely an extension of the creator. As the personality develops, an identity forms, which becomes a kind of central focus for the newly individuated spirit complex. At that point, even after the veil is taken away, there is still a relatively strong sense of distinct identity apart from others.

This is a product of being forged in the 3rd density fire of the veiled condition. It creates a distinct personality who chooses for themselves, rather than merely an extension of the creator which simply does whatever the creator wills.