Unless your Fritz is running version 7.39 or above of the software the option will not appear.

https://en.avm.de/service/knowledge-base/dok/FRITZ-B...

Wireguard requires a client.

https://www.wireguard.com/install/

My FRITZ!Box 7530 AX is running version 7.31 and it says that it is up to date.

In reply to a post by SixtiesFan:

My FRITZ!Box 7530 AX is running version 7.31 and it says that it is up to date.

That's because it's the latest version for your device.

https://ftp.avm.de/fritzbox/fritzbox-7530-ax/other/f...

You can download the Lab (beta) version 7.51 from here:
https://en.avm.de/fritz-lab/fresh-from-development/f...

The beta includes wireguard support and a bunch of other features that are all listed on the Labs link posted above.