What is the black adhesive being applied between the veneer bricks?
It is just black mortar.  They sell mortar in many different colors along with powdered coloring you can add to make just about any color you want.

Mortar is used between brick and block to seal the joint from the elements, and to lock the bricks together (among other things).  In the picture above, it is not used to lock the bricks together or weatherproof the joints but is used for aesthetics by giving the final product a nice contrast between the red brick and black mortar.