Proof that they're just coming in through the veil? They could easily have been summoned by desperate mages or Resolutionists. If they were coming through the veil, I'd probably have expected them to comment about it at least. What they *did* show was desperate mages and demon summoning. I assumed that since they showed me *that*, there was more of that going on. I could be wrong, but I didn't see any evidence that it was demons crossing over directly from the Fade.
Because that is what they showed. I only saw one blood mage summoning demons in the mage side; the rest just appeared, many in places where there were never any traces of mage presence (like many of the Templar Hall corridors).
If that were true, you'd be right - it wouldn't be a big deal. However, it isn't true. We've seen examples of possessed people who aren't immediately spotted. Wilmod didn't show any outward signs of possession until pushed. Connor didn't show any visible outward signs of possession. Keran was put under observation for years in order to verify that he wasn't possessed. Factually, it's entirely possible for possessed people not to show. If spotting abominations was so easy, why did they have to do these things?
Wilmod and Keran were possessed via a ritual deliberately designed to make inconspicuous demon possessees, and Connor deliberately took the demon in. None of this happens in here; even one apparently willing mage turns into the mutant fleshsack variety of abomination, and I'm fairly sure avoiding it requires more deliberation than the vast majority of mages here will have time for. The risk here is too small compared to the alternative.
Hawke can say it too, when Merrill protests. It's not shown very well (they could have had rioting Kirkwallers attack you on your way to th gallows, if you side with the mages), but it's reasoning intended to be taken seriously.
And apparently then dismissed, as it never happens. I also really do need to point out that your rogue's assessment of the situation is incorrect; is it really metagaming to avoid this?