My ruling is that veils function like stealth rolls; if you were being mundanely sneaky (in a situation where mundane sneakiness was plausible), and could remain hidden while doing action X, then you can remain hidden with a veil while doing action X.
So, in general, making a melee attack will break whatever veil you're using (though some exceptions exist). Direct ranged attacks, and some maneuvers, will merely give your opponent a bonus to spotting you (or, potentially, give them the option to spend a fate point to declare that they spot you). Indirect ranged attacks, opening doors, pressing buttons, etc, won't. (Though in the case of the door, that might let someone make an area attack that'd hit you anyway.)
If you want better than that - a veil that can protect you even in full-on combat - you need to spend refresh on some kind of upgrade (if you're using glamours - consider a stunt that, when you're veiled, shifts physical defense from athletics to deceit/discipline), or possibly just re-define your spell; for example, a basic evocation block against being attacked could be flavored as a sort of a kaliedascope veil that prevents people from accurately targetting you, but doesn't completely block seeing where you are. Or, if you've got an appropriate sponsored magic, use the thaumaturgy with the speed & methods of evocation option to create a veil that simultaneously blocks against alertness & investigation & attacks.