To me the option closest to the internet is always the better one. Catch problems as soon as possible.

"advantages/disadvantes to either approach"

Either will work and it is really just a matter of preference.
The issue is not the method but the configuration of the method. To use wireguard you need to understand wireguard and your router. To use a server you need to understand how firewalls work.

In regards to learning the server option will be the more interesting option.