Your files are now being placed in /opt/wireguard-server/config, not in the folder you have the docker-compose file, can you see them there with ls?

If you want thee files to be created in the directory where your compose file is you should change the path in the volume like so (notice the ./ on the left side of the colon):

- ./config:/config

Volume paths are specified with local-path:container-path, so changing the part before the colon specifies where your files are, and changing the part after the colon specifies where the container sees the files

Hope this makes sense, but I just woke up, so it might not

I'm not a docker pro, so I may be wrong...

It looks to me like your syntax is formatted as if you're assigning an external bind mount, not a volume.

IIRC, volume mounts are <name>:<path_inside_container>, and docker will automatically pre-pend the service name to the vol name (e. g. /opt/docker/volumes/wireguard-<name>)

So, you could try something like:

volumes:
      - wireguard-server-config:/config
      - wireguard-modules:/lib/modules

ref: https://docs.docker.com/engine/storage/volumes/#use-a-volume-with-docker-compose