Is it okay that my veneers shift a little bit? I am positive that it happens when I play saxophone. (Photo)

It is possible that it is merely perception, but veneers should not move away from the tooth structure they are bonded to, at all.  Teeth have ligiments that connect them to the bone, the PDL, so there can be slight movement.  Pressure from your mouthpiece might soften the bone around the teeth (similar to what happens with braces) so they move a tad more, but shouldn't be significant.  If the veneers have debonded from the tooth structure, they need to be replaced.  However, properly bonded veneers stay put VERY well, so it is more likely that it is merely perception.

The pressure of the mouthpiece of your sax can definitely move your upper teeth slightly.  If it is a problem you might talk to an orthodontist who could make you a simple appliance to return your teeth to the correct position after you have played.  You have nice looking teeth.  This will help keep them that way.  Good luck.