If you buy crawfish from an actual retailer, chances are they have been purged, and are going to be great when cooked correctly. The vein isn't going to matter. Don't let it slow you down!
Never, ever, ever, under any circumstances buy crawfish or shrimp or any other seafood for that matter from China. You won't believe what they do to their food!
The story goes...don't eat the straight-tail crawfish because they were dead before they were cooked. So, it that true, or just an old Cajun wives tale?