Sure, I get that. The issue is that as soon as you introduce the ability to install apps from outside the App Store, it becomes possible to trick unsuspecting users into clicking buttons they don’t understand. By designing a web page to look like an actual Apple page, a malicious party could convince users to “opt in” to outside sources, in a similar way in which phishing websites harvest users’ online banking credentials. Currently, this kind of attack is entirely impossible on iPhone.
Here is a script to easily install WireGuard and generate client config files for any server: https://github.com/Nyr/wireguard-install