We'll admit it—it's pretty tough to deal when Em refuses to tell us what's behind the black veil. It's so scary that she thinks we can't handle it, apparently. But we know it's no ordinary portrait: Em sees that "what it had concealed was no picture" and immediately faints dead away (2.6.45). What could possibly be that bad?
Unlike the music, there's a completely reasonable explanation for the thing behind the veil (Major spoilers to follow, of course). But the thing is, the explanation isn't really the important part. By concealing the thing behind the veil, Em is basically contributing to the mysteries of Udolpho. Like Signora Laurentini and Montoni, Em has her own secrets to keep—and she ain't tellin' them to no one.
No Big Deal
So when the narrator tells us at the end that Em just saw a melted wax figure, it may come as a disappointment. But even that has poetic justice. Remember, the wax figure was designed for a former inhabitant of Udolpho to contemplate "a human body in the state, to which it is reduced to after death" (4.18.24). So some dude had to look at the wax figure and think about the physical remainders of death, rather than indulge his imagination in ghost stories. Sound familiar?
So it's pretty fitting that our imaginations ran wild right along with Em's. We wanted to believe that it was something so terrible that even Em couldn't utter it, but it turns out we got fooled big-time. Maybe the black veil symbolizes our own desire for some creepy-crawlie ghost stories in real life.