When latest Autumn spreads her evening veil (1)
Huh, this is a funky metaphor: Autumn is personified as a woman who wears a veil. And in this metaphor, "evening" is the veil that Autumn wears.
And the grey mists from these dim waves arise, (2)
The fact that the grey mists are arising from the water makes it sound like the mists have agency, or a will of their own. The mists sound kind of creepy, if you ask us.
I love to listen to the hollow sighs,Through the half-leafless wood that breathes the gale: (3-4)
The mists aren't the only thing in Nature with agency, or a will of its own. The wind doesn't just blow. It "sighs" and "breathes" as though it were alive. It's like the whole natural world is agreeing with and sympathizing with the speaker's melancholy mood. How does that work?