"The Veldt" is a story about a virtual reality room that gets out of control. But it's also the story about how parents and children don't see eye-to-eye. Even when they're looking at the same stuff. For instance, Peter and Wendy probably think a trip to New York is fun; but George and Lydia look at that as a Very Bad Idea. To the kids, the parents are overbearing tyrants who should be fed to lions. But George and Lydia think they're laying down reasonable rules (like don't kill anyone. That's pretty reasonable.) So while the virtual reality room lets different people live in different realities, in many ways, they already do.
The virtual reality of the nursery is the only reality that matters, because it has the biggest impact on the characters in "The Veldt."
"The Veldt" shows that it's a bad idea for people to learn about the fantasies of others.