I tried adding the wireguard module to my loader.conf this morning and my VM bombed horribly on reboot. I'm not sure if it's some ordering issue or something else, but use some caution when doing this.
There's not a ton of reason to load it in loader.conf (which is the bootloader configuration), by the way. The recommended location would be rc.conf kld_list, which is after userspace starts. loader.conf is only really needed for hardware drivers needed to load the operating system from storage devices (and most such drivers are already built in to the kernel).