Which characters DO you want to return in DA 4?

I mean, if that's what you believe, then feel free. I didn't feel like that. The main one that some of them obviously didn't know was Zevran. And given, again, that the only ones who didn't actually 'seem to know' Josephine were the acting director (who didn't work on Inquisition) and Ali Hillis (who was a VA for a character that to my knowledge never actually had a scene with Josephine in the game) while the actual directors of the game clearly knew who Josephine was, it's pretty safe to say that your description of the video was misrepresentative at least some degree.

Of Allegra Clark being in Veilguard, yes, I will agree there. It doesn't seem likely that Josephine's VA is in Veilguard, which is a pity as I wouldn't mind seeing/hearing her. However, I never expected to see her in game, same as the other Advisors or even most of the companions, and felt it likely that at most Josephine will be a Codex entry a la Sebastian--in which case the acting director wouldn't recognize her. It's more likely there won't be a Josephine, though. Still, if you were using that video to say that Josephine wouldn't appear in game, that is true, and is down to my own misinterpretation of your statement. My apologies if that is the case.

Do we get to choose the class of the Inquisitor? Just asking because the default Lavellan seems to be a hunter ie not a Mage. Just wondering if The Veilguard is making another choice for us.

I think they allow us to choose their lineage (how they refer to race now for some reason) and class but not their specialism. So if the Inquisitor was a Warrior, it will be a generic warrior, if they were a rogue or a mage, ditto. That was the same with Hawke in DAI. At least this time round I assume there won't be the problem people had with Hawke where they were a blood mage in DA2 and yet bad mounting the specialism in DAI. They also get to state who their romance was, which will still be gated in the same way it was in DAI, so no female Inquisitors romancing Dorian or male Inquisitors romancing Sera, etc. If you romanced Solas, it will be up to you whether you include their vallaslin or not when creating their appearance. I'm not sure if there is any way the system will record your choice to exclude it, so it is mentioned in dialogue, or whether they will just assume you had it removed (which was not always the case).

"They" being... voice actor Ali Hillis?

She's my Inq's LI and I barely recognized her considering they used a fucking modded Josie.

A skull shape analysis might also be in order.