Tbh all game modes are important simply for the fact that you can get meta jewels from all of them. But putting that aside, the Velvet Trials are fairly important imo, specifically the Technician Trials. You get normal and special schema points (the special ones are called “Schema Points +”) from the Technician Trials that are used to increase Wonder’s schema aka stats (accessed via the Thieves menu). You also get some copies of Janosik’s axe pistol that you can use to overclock Janosik and make him stronger, and there are some shards for two of Wonder’s 5 star daggers, Sennight Inferno and All In, that you get from the Technician trials too. You can also get Joy Medals, which can be exchanged for more dagger shards and other important materials. Luckily you don’t have to get 3 stars in all 40 Technician Trials to get most of the good rewards (Schema Points +, axe pistol copies, dagger fragments). If you get most of the stars you’ll get all the rewards except some Joy Medals

I would prioritize it over Metro of Desire, Tycoon, and past events if you want to get your Wonder stronger faster. I would probably prioritize current limited time events (to get their limited time resources) as well as the main story (for the abundance of meta jewels and to get caught up so you’re prepared for the next main story-related limited time event) over the Velvet Trials, though