It also means that ALL traffic incoming on a specific port of that VPS can only go to exactly ONE private wireguard peer. You could avoid both of these issues by having the reverse proxy on the VPS (which is why cloudflare works the way it does), but I prefer my https endpoint to be on my own trusted hardware.
For TLS-based protocols like HTTPS you can run a reverse proxy on the VPS that only looks at the SNI (server name indication) which does not require the private key to be present on the VPS. That way you can run all your HTTPS endpoints on the same port without issue even if the backend server depends on the host name.