Nature form is obtained from the collectible vendor in Mithalas Cathedral but it isn't required to finish the game. The entrance to the abyss is in the southwest of Open Waters where the map gets pitch black. To get past this to the Abyss you will need the sun form which is given to you by Priestess Rajah in the same map after you have gone through corrupt Mithalas and spoken to Drask. The door in the NE Veil is indeed a cut level that may be added in the near future.
Thanks for your help, Bear, need a bit more I'm afraid...
I went back through open waters (uppermost portion of map), and I guess the entrance to the Abyss is South of the chomping mouths. I went back to Mithalas and checked Open Waters again, but I didn't see priestess Rajah. Where is she?