Well, first off, I find that the largeness of my own thighs tends to help in a lot of moves- cross knee releases and such! I get more grip, and better grip.
With the pole sit... it can look a little misleading at first, because most people assume that you are crossing knee over knee- you are NOT. This, I think, would be impossible for any human. We have bones, it gets in the way.
So, the hip tilt (either to the left or right, bringing one hip down and one hip up) is fairly important, as it allows for some extra grip and keeps your thigh bones from ramming into the pole too much. It also allows us slightly more range of motion in said hips... but that's sort of a different thing.
Secondly, most people are NOT crossing their legs at the knee! I know I certainly don't do that. With Veena's lesson, if you look at how she's got her top leg turned, it appears to be that she's crossing knee over knee, but she also has her whole top leg turned so that the inner part of her thigh is pointing more upward- sort of like how you do when you're sitting, and you cross your ankle upon your knee. Veena is also tiny, as VERY long legs, and very little fat, so what would allow for greater illusion. The hip tilt is also CRUCIAL for this kind of look- Veena has her upper hip right into the pole!
For me, I usually get the side of my calf upon my knee, or better yet, just cross my ankles, and even hook one around the pole beneath me! It gives me that little bit of stability, so I can feel free to let go with my hands.
Many people have challenges like this- it all depends on your preferred point of contact with the pole, your hip configuration, the length of your legs, your flexibility... so many things. Larger thighs may be a small part of it, too ;)
Good luck! I think you look great :)