Compile the actual WireGuard kernel module. Most certainly you want this enabled, unless you're doing something strange.

Packages describing “module” as local USE flag

Package “module” Flag Description
net-vpn/wireguard-modules Compile the actual WireGuard kernel module. Most certainly you want this enabled, unless you're doing something strange.
sys-apps/smc-sum Install Supermicro's kernel module.

All packages providing a “module” USE flag (2)