Right now I have pihole, it works really good but pivpn and wireguard don't, I don't know what to do, so I think I should change to Adguard with wireguard
You need to provide more details about your setup. I use PiHole on internal network and wireguard server on edgerouter to connect from outside. I wireguard to connect to my network on the go to do adblocking on my phone and laptop. Never had any issues with either. If I eber had issues with wireguard it was always config on eithet wireguard client or server