I don't know the technical explanation, but it is normal. I see the same thing on my router (also greyed out are tun devices for OpenVPN, and the eth1 interface which, on my hardware, is connected to an internal switch chip -- eth1.1 is not greyed out).
You can safely ignore the wg "device" as really it is a tunnel that cannot be further configured beyond the network interface stanzas in your /etc/config/network file.
If you are looking for the technical reasoning behind the greyed out vs normal devices, hopefully someone else can provide more detail and insight.