wireguard is the superior protocol over OpenVPN.
much less lines of codebase make it more auditable to find bugs, its also faster and more modern.
I don't know if this is related but some games I played also have slow connection if I choose WireGuard over OpenVPN on my Mullvad. Sometimes failed to connect after multiple retries. Their servers are located in China though, so other factors might be at play here. That being said, I used Proton with WireGuard as of now and I've found no problems at all. From my limited experience, Proton is quite okay for gaming unless you need very low ping (keep in mind that the servers you choose will affect this too). CMIIW.
It's funny how each VPN has a different speed for all of us. As far as I remember, LoyceV has said that Mullvad is one of the fastest VPN for him while it was one of the slowest for me (especially US servers).
From my experience, NordVPN and Surfshark are the best for gaming because they offer me the lowest latency in nearby countries but I also want to say that overall, for high speed and high privacy, my favorite VPN is IVPN. I believe that IVPN is much safer bet than NordVPN or Surfshark.