It’s just a bash script so there is nothing to compile, you can just copy it on router. But see my post in other topic to see why it’s not part of OpenWRT. In short, it’s example usage not intended as primary deployment. Primary deployment in OpenWRT is netifd that is configured trough /etc/config/network.
Look we are at the moment maintaining release on obsoleted version of OpenWRT. Updating packages is our priority but we can’t update everything and there are packages with higher priority and packages with lower priority. If you want to bump some package version then you can do it, test it and then send us patch (for testing compilation you can either use Turris Documentation or Files · master · Turris / myrepo · GitLab). You can also create issue on gitlab or github just to tell us that given packages has newer version, but that doesn’t ensures quick update.
At the moment wireguard is somewhat up to date, at least it has version that is compatible with latest version. If it wouldn’t be then I would bump it on my own us I am using it.