In general, Glalie wants a +speed nature to outspeed as much as possible, so try to get one of those.
Battle Tree (singles): Glalie wants 136 speed EVs and timid so it can outspeed Tsareena when it's at +1 and hold world records. Frost breath is its most reliable attack, so use modest if you really can't get a +speed nature.
BSS: Glalie wants timid to set substitutes at fast as possible. Its most reliable attack is freeze-dry, so use modest
if you really can't get a +speed nature.
NU: Glalie wants jolly to outspeed things like max speed Sigilyph and Vivillon. Glalie's good refrigerate-boosted attacks, like return (enter on some keyboards) and explosion, are mostly physical, so use adamant if you really can't get a +speed nature.
I don't know any other reasons Glalie's nature might matter in USM.