Finally got it to work with 4.2.2.
Setup is the following: lab with a Master. The Master will not be used by students, logon auth is unneeded and causes other issues.
First install Veyon with the master on a machine and generate a key pair (I just name it "teacher"). Export them to another folder (I put them on the file share for distribution later). Generate locations and computers in Location & Computers. You'll have to install the clients with either a config file included or utilize veyon-wcli to change authentication mode. The config will not set the key access control group, you'll need to set it with veyon-wcli. By default it pulls the highest privilege group available when the key pair is created (Administrators), but you'll actually want to have it for the lowest (Users).
//Config for Master/Client
General
Authentication
Method: Key file authentication
Computer Access Control
x Grant access to every authenticated user (default)
Authentication keys
Set Access group to "Users"
//Imports public key
"C:\Program Files\Veyon\veyon-wcli.exe" authkeys import teacher/public \\fileserver\share$\folder\teacher_public_key.pem
//Imports private key (Master Only)
"C:\Program Files\Veyon\veyon-wcli.exe" authkeys import teacher/private \\fileserver\share$\folder\teacher_private_key.pem
//Sets access group to Users (works with domain login as well)
"C:\Program Files\Veyon\veyon-wcli.exe" authkeys setaccessgroup teacher/public Users
//Sets access group to Users (works with domain login as well) (Master Only)
"C:\Program Files\Veyon\veyon-wcli.exe" authkeys setaccessgroup teacher/private Users
One gotcha I learned is that the Veyon uninstaller will not remove keys. If you generated new keys for a new version but with the same name, the old ones will have to be deleted first because the import will not work if a file with the same name exists.
//Remove the Veyon folder from ProgramData
rmdir /s /q "C:\ProgramData\Veyon"
When you import the keys with veyon-wcli the folder structure will be created.
Now you've Veyon running with key authentication.