One piece of intel the player finds notes that the most successful attempt to create a Veil Assassin used a captured and Brainwashed resistance fighter as the test subject... and suggests that all future Veil Assassins (including, presumably, the ones you have to fight) be created in this way.
When B.J. first meets the Kriege brothers, one of them name-drops the Manhattan Project to flaunt the black market's intelligence sources. Blazkowicz is said to be visibly shocked upon hearing the code word. While it's technically possible they could have at least learned of the code namenote perhaps from a source in a German intelligence service?, why on earth would it have any meaning for B.J., who not only has no connection to the project, but as someone whose duties involved a high risk of capture would be among the least likely to be briefed on any such secrets?
In a later encounter with the Kriege brothers, they appear to have obtained a complete dossier on B.J., name-dropping previous missions such as Operation Resurrection and the Spear of Destiny... and yet they say they've never heard of the Office of Secret Actions before.
I want to say it's a matter of competence - namely, the lack of it that video-game Nazis tend to have about being evil and dangerous, as such allowing the Kriege brothers to hear about those actions without knowing who was involved from their side - but with the kinds of intelligence they can gather without really ever leaving their outpost, the fact that they've heard about the OSA now, without the OSA explicitly doing anything different from previous operations that makes its existence known to the enemy, means there's really no reason why they shouldn't have heard of it at some point before. Though, the real fridge logic is how exactly the Kriege brothers know about the business with the Spear when that apparently happened in a separate continuity from RtCW and this game.
The sheer variety of upgrades available through the Black Market raises a couple of questions. Why they would have access to upgrades for, say, the Thule Medallion - only 3 are seen in the entire game, including the opening cutscene - or some of the rare/prototype German weapons is unclear. On the other hand, one wonders why the Black Market is the only source for upgrades for even standard issue weapons, as BJ is unable to obtain so much as a rifle scope or silencer from picking up his opponents' guns.
Also, they don't sell pistols or anything - pistols are exclusive to cutscenes and the multiplayer nobody played because it was terrible. Even though they have a Luger P'08 and a Colt M1911 right there within the actual market. They're a black market that can get their hands on upgrades for a damn medallion of which only three exist, among the other crazy stuff their upgrades do like somehow nullifying the ridiculous backblast of the Panzerschreck without actually making the rocket smaller (there's a reason it had that shield covering half the user's body) and making its rockets able to lock onto targets and turn in-flight to seek them - handguns, especially those used by their own country's army in the middle of a war, would be small potatoes in comparison to something like that, so if they can get one of each there's no reason they couldn't get a whole truckload of them and sell those too.
Deathshead at first seems a bit out-of-character when he reappears in this game, talking up the possibilities of the Veil and the Black Sun dimension as what will give Germany the unbeatable edge in the war, after being played as the Only Sane Man in regards to the Paranormal Division's activities in Return to Castle Wolfenstein. Think about it a little bit, though, and his enthusiasm for the same sort of thing he sneered at before makes sense. By the time he actually shows up, the research into the Veil and its energy has already produced a substance that briefly nullifies gravity within a certain radius when it goes up, two different energy weapons that instantly vaporize people, energy shields that are totally impenetrable to all conventional weapons, devices that deny access to the Veil by anyone who happens to have one of the Thule Medallions, arm-mounted energy blades, personal invisibility, working jetpacks, Powered Armor, and easy resurrection of the dead into far more dangerous and controllable forms, among others. There is visible, concrete proof that the research into the Veil is producing actual results that could greatly benefit the Third Reich, and on top of that it's completely separate from Deathshead's own projects until he decides to take over for it after Zetta is killed. In comparison, Operation Resurrection demanded everything Deathshead was working on at the time for their own use (he only kept one of his six Übersoldat prototypes by basically telling them to fuck off and make do with five), and, while they did eventually achieve their end goal of resurrecting Heinrich I, they got nothing else out of it except several expensive failures that got many of their own soldiers killed and at best only ever produced mystical horrors they had no control over.
An important distinction between the two incidents as well is how they were handled. The Veil research would obviously appeal more to a man of science like Deathshead because it actually used the scientific method - it started with what was known (that the Veil exists) and was working from there to discover new things (what could be done with the Veil), which as above was very fruitful. This is in direct contrast to the Paranormal Division's objective - they had their end goal in sight from the beginning (resurrect Heinrich I), and only did as much research and work as was absolutely necessary along the way to prepare for it - which just in the first chapter, resulted in a zombie outbreak in the catacombs that killed off most of their regular army backup, and the resurrection of an ancient undead warlord that killed off the rest of them because they couldn't control him.