For ProtonVPN as an example: you can go to the downloads section and download the wireguard config you want and then import it from the wireguard gui.
For me, I would never use other inferior VPN clients after knowing how efficient, supported and developed are the official Wireguard gui are.
Other providers who provide configs:
Import multiple confis. That would solve this.
You can change DNS server in the Wireguard app(by editing the config). It just requires some low amount of knowledge to do that.
You might prefer to use unofficial Wireguard/ VPN provider client. But It’s not the most efficient or the secure way to connect.
How likely are vpn (mullvad) configs to change over time? Will I end up having to constantly update them, which is something I assume the native app will do.
Secondly, do the wire guard tools include things like a killswitch on disconnect so I don’t accidentally send traffic if I get disconnected (eg when the VPN node I’m connected to goes down for maintenance)