On your veeam server, the plugin is in the default plugin folder of the agent:
C:\Program Files (x86)\checkmk\service\plugins
In the default config, no plugin in this directory is executed.
You can copy the plugin to the local plugin directory
C:\ProgramData\checkmk\agent\plugins
or you can enable the veeam plugin in your check_mk.user.yml with the following config (benefit: if the shipped plugin is updated, it will automatically use the updated plugin, you do not need to copy it again)
plugins:
execution:
- pattern : '$BUILTIN_PLUGINS_PATH$\veeam_backup_status.ps1'
timeout : 60
run : yes