Sometimes, he wishes she could just be normal.
Not that he doesn't love Veronica the way she is – not that way – 'cause he does; he knows she's awesome and amazing. But he's kind of really sick of her always asking him for favors, spending half her time investigating something or other, always having to be the lone savvy private eye.
He wishes he could make her stop; tell her it's okay, and that maybe it isn't her duty to carry the weight of the world. He can tell – feel, almost – how Lilly's murder is heavy over her shoulders. Veronica wants and needs to be tracking down the bastard who killed her best friend, and Lilly's memory is never going to fade, never going to become a ghost like dead people should – Veronica can't let her go.
Wallace is kind of tired, because the more Veronica hangs on to her dead best friend, the less she holds onto her new one. Yes; call him stupid and pathetic, but Wallace is jealous of a dead girl. It's not fair to ask Veronica to just let the whole thing go if she's not ready to, but hey. He's human.
It's more than that, however. He can feel that Veronica doesn't tell him things; her secrets make her shoulders slump like heavy baggage. She's a hero and he's her sidekick; she couldn't possibly treat him like an equal, could she? No, no, what is he thinking? What is this thing called 'equality' of which you speak?
Okay, maybe he's a little bitter – and he hates feeling that way, because Veronica is still his best friend and he hates passing judgment on her. Given everything, it's a shock she's capable of friendship at all – Wallace should be counting his blessings. If he had been through everything she had, he would probably be crawled somewhere in a cave waiting to starve to death by now. But Veronica will never do that, or anything like that – she's strong, and she'll just throw every bit of pain they try to put her through back in their faces.
Maybe that's what it comes down to, in the end. She's a hero, and with that comes what's extraordinary about her – she's brave, smart, sneaky, and so very strong. She needs these things to be the hero (and she always needs to be the hero; he knows that), and they make her who she is.
But he sees her falter and sway under the weight of being special, and he just wishes he could lift the burden for her.