Wrong. He had been hit by a killing curse and then fell through the curtain.
And the veil itself is a mystery that was never quite explained. In the book Harry heard voices from behind it and Lupin was quite set on keeping Harry away from it. In the movie it looked like his spirit sort of floated away,
I always had the impression that the veil was a dangerous piece of magic that may have been a doorway into the afterlife. Anyone who went through it probably could never return.
---
You're only a cheater in the eyes of someone who has yet to gain the knowledge to do what you can do.