I think we chose to create the veil out of ignorance. The whole story of Adam and Eve, Eve ate the apple out of ignorance and naivete. If we really knew what this was about, we surely wouldn't have done it. The joy of unveiling doens't compare to the suffering veiling brings about in the first place, at least that's what I think
I don't believe it is cheating, since we created this game to begin with, and once you get bored of the game (i.e. suffering, that's what this game is really about), you set about to dis-create the game and return back to our pure Source. Playing the game as if it were real only serves to keep you enmeshed in it.