Hi there!
I feel that it's important to point out that, with a pole sit, you are NOT trying to cross your thighs the way you do when sitting on the couch. With the pole in between your legs, there is no way to get your thighs themselves to cross- you'd have to have some broken bones to accomplish it!
That said, in many ways it can LOOK the same, because of the technique Veena does (by dropping one hip downward to create a lock) and the wonderful optical illusions that are our bodies.
In reality, we are crossing down at our knees at the highest, and for some of us, we cross at the ankles and just squeeze REALLY hard! This is mostly due to how our hips, thigh bones, and thigh muscles work together and are put together... each body has it's preference.
And, for the wrist sit, there are a few really good threads to search up on the forum for tips! I struggled a lot with this move for quite a while, and found those tips super useful. I would say, though, that the wrist sit is a difficult move and can be pretty harsh on your lower hand if you're not used to the body position needed before taking your legs away from the pole, and if you're not used to the push/pull necessary with your arms to keep your weight off your wrist.
The moves Lucca listed, like planks and laybacks (such as the cross knee release or the cross ankle release) are super useful to learn, and I did many of those before I touched the wrist sit.
I don't know where you are in your pole journey for those moves in particular, but they can really help you get used to leaning back and understanding the see-saw effect that is required in a wrist sit.
Hope this helps! Keep at it!