If the .wal file is not backed up, then any information in it will not be backed up. Depending on the settings for the WAL, this can be quite a lot. You would need to do something like the VACUUM INTO trick described above if you want to safely backup the sqlite database from a live filesystem, because there is a risk of the WAL and database being out of sync. I’m not sure that SQLite, good though it is, can get around the WAL being taken at a different time to the rest of the database.
The problem here isn’t the .wal file, but doing backups from a moving filesystem. The solution is to use snapshots. ZFS supports snapshots natively, and Linux’s device mapper supports snapshots of any block device. [0]
Why? An atomic filesystem snapshot is very similar to power loss. Since WAL is required to handle that scenario, it's just as important when backing up through snapshots.
The problem here isn’t the .wal file, but doing backups from a moving filesystem. The solution is to use snapshots. ZFS supports snapshots natively, and Linux’s device mapper supports snapshots of any block device. [0]
[0] https://www.kernel.org/doc/html/latest/admin-guide/device-ma...