First of all, even if you don't need the 30% reduction in damage (let's say you're offtanking), SE has made it so their golden child can use Vengeance to get another stack for Fell Cleave. Second, there's plenty of fights where very early mitigation will help you. In A1S you can Vengeance right before pulling/on the pull to mitigate his opening attacks and Vengeance will be back in time for the tank buster. In A3S you can Vengeance early and defend against a swipe and protean wave. Manipulator missiles immediately on pull. Thordan cleaves within 3 GCDs. Bahamut uses Flare Breath on pull. Mitigating this stuff might let your healers get a stronger opening burst, which especially in Alexander can be the difference between an enrage and a win. None of this matters, though, because:
I'm comparing them based on time. I thought that was kind of obvious, based on this sentence: That's the same recast time as Vengeance (WAR skill).
They do not have the same recast time. If an attack comes in 2 minute intervals (like, say, A1S's tank buster), Divine Veil won't mitigate it, but Vengeance will. So will Deployment Tactics, Virus, Eye for an Eye (traited), and Reprisal. Divine Veil's only advantage is that it doesn't need an enemy target, but even still its cooldown is too long when you consider paladin's other lackluster utility. If the other stuff gets improved then sure, leave Veil as is.