Vegetable glaze is more commonly known as Shellac. Many companies are looking to replace ingredients that are unknown, or have a bad name with a new term (have you ever seen "evaporated cane juice"? Sounds like sugar to me).
Shellac is essentially a hardened form of a resin that is secreted by insects known as 'Lac Resin'. It is typically refined to remove impurities, and used as a coating for pills (since it has a slightly sweet taste) or as a hardener in things like nail polish.
Shellac is more expensive than other substances of that purpose, but is "generally recognized as safe in foods" and is approved for use in products certified organic -- which is why it is probably in your supplement.