It works out of the box.
I forgot I had installed AlgoVPN. I strongly recommend anyone who would like a Wireguard VPN based ‘roadwarrior’ Ubuntu server to not use AlgoVPN. It completely messes up IPtables and other system settings and there is no way to reverse it. I started fresh and the integrated desktop and file sharing works out of the box.
File sharing is SMB based. NFS is most likely a much better choice (especially between Linux devices).
Desktop sharing is VNC based which is not as fast as I would expect (within my LAN). It doesn’t seem to be faster than Teamviewer over the internet. xrdp, as suggested by @puffettacicciottella might be faster? I am going to try.