I have built the latest LTS image with docker with no appearent problems on the process.
However after installing on a host, I have seen that wireguard.ko is missing. (Should've checked the squashfs earlier)
After 5 different build tries (1 deleted, 4 are available; where 1 is done on a fresh Debian Jessie install) and checking an earlier build I've done on May 10th (that had the kmod), I concluded that somewhere between May 10 and Today, a change on the vyos-build repository is blocking WireGuard kernel module being installed. (wireguard-tools is installed fine).