It affects power use in the sense that Rethink is processing those packets & dropping them, but the app keeps sending them, potentially preventing device from going to sleep, for instance.

You could choose to Disable such apps where possible. Some Freeze apps using Shizuku (that uses Device Manager APIs). Rethink used to be able to Kill such apps on earlier versions of Android but Google has since deprecated the APIs to let installed apps kill other installed apps.

Thanks for the reply. Also if the wireguard vpn is ON and phone is disconnected from internet, will there be constant attempt for connection by wireguard? I noticed battery was discharging faster with this setup.

constant attempt for connection by wireguard?

WireGuard on its own doesn't keep connections alive unless KeepAlive is set. I'd recommend turning it off if you don't use P2P apps like torrents, for example.