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:
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)