WireGuard mode does not help with interception, it helps with getting traffic into mitmproxy. Put differently, it's a user-friendly alternative to
1. configuring an explicit HTTP proxy in your system settings, or
2. fiddling with iptables on your router and/or your mitmproxy device.
The downside of 1) is that it does not work for UDP-based traffic such as DNS and can often be easily bypassed by applications. The downside of 2) is that it's generally fiddly and does not work very well for users with consumer routers (no iptables). In all cases you still need to install a trusted mitmproxy CA for TLS interception, that part does not change with WireGuard mode. :)