I have the same issue. It stays in a loop trying to connect.
In my GL-MT300N-V2 everything works fine.
I just upgraded to a GL-MT2500A and I cannot connect to my Wireguard VPN.
I am using VPN Unlimited as a VPN provider.
And I have an additional issue that I do not know if it is related…
When I stop my failed wireguard connection, I lose connection to the internet. I need to restart the router in order to get connection to the internet.