Are you talking about the normal video player embedded in their page? It works fine for me, does take a bit of time to load however.
Or are you talking about the Veoh Video Compass + Web Player that you have to download and install?
EDIT: After testing with both US-Surfing/Streaming and BolehRoute, neither of them works. US-Surfing/Streaming still gives out your IP, and BolehRoute just won't let it connect. Guess you're stuck with the normal video player for now.