It does have one security implication: Wireguard never responds to an attacker. Your tunnel is responding to attackers, so now they know your box exists and can

It does have one security implication: Wireguard never responds to an attacker. Your tunnel is responding to attackers, so now they know your box exists and can probe it for problems. Each TCP connection takes up memory. If you limit the TCP connections, they can run a slowloris attack and tie them all up. So it's not a security hole, but it is slightly less secure.