Hi, I'm Elise, a fellow user like yourself and I'd be happy to help with your issue.
When using a VPN to enable access to local networking resources such as a wireless display adaptor or other local area network device you need to enable something called split tunnelling in the VPN tunnel configuration.
It is likely that the VPN which is being used with OpenVPN has this enabled but the Wireguard one does not. You would need to check with Wireguard support to see if there is an option where you can configure an exception for the wireless display adaptor service.
Please let me know if you need any further assistance.
Kind Regards,
Elise