From how I understand it, in Veilid everyone is both and entry, relay and an exit node - there's no distinction. Because you have to have exit nodes - the communication has to go though somewhere, so the receiving server will always know the IP of the last node (the exit one). It just has to go through somewhere. The whole main point of TOR (and Veiled, which seems based on the same thing) is that since you go through three nodes, each node can tell where is the request coming from, and where to send it. So the server doesn't know where did the request came from, but knows the IP of the exit node.

The issue is that if they bust someone for doing illegal shit, your IP may be investigated. They don't know what communication came from you, but something may have, since just by using veiled, you become an exit node. Or I'm misunderstanding it, but that's what I understood from the description.