For example ethash has a decrease from 43mh/s down to 36mh/s after using WildRig. Doesn't occur if I don't run the application. (system reboot restores performance)
Any suggestions, comments on this behaviour?
This one is really odd. Did you try to reset(disable-enable device in Windows) Vega after wildrig session? When cryptonight was popular, people were doing so to get "fresh" hashrate, so maybe something similar happens here. Wildrig do nothing itself to modify anything related to gpu.