I tried this again with the new version 18.104.22.168 and ran into the same problem, so I had a deeper look and finally found the problem: starting with version 22.214.171.124, the Veyon setup program is incompatible with mandatory ASLR.
Mandatory ASLR is an additional exploit protection you can enable in the Windows Security app under "App & browser control", or through group policy like I did.
To work around the problem, I included an exception for tthe Veyon installer in the MitigationPolicy.xml I am distributing through group policy. It looks like this:
<?xml version="1.0" encoding="UTF-8"?>
<ASLR ForceRelocateImages="true" RequireInfo="false" />
<ASLR ForceRelocateImages="false" />