As I understand it, it depends on the architecture of your router hardware. The problematic case is where you have both ethernet and wifi LAN interfaces on the router. The veth workaround essentially allows you to shape both interfaces as one, by placing a virtual interface in front of them and putting the SQM instance on that.
In my case I don't have to do that because my router doesn't handle wifi - I have separate wifi access points which are wired into the LAN elsewhere.
More info from far more knowledgeable people than me can be found in this thread: