I think that I know what is the root cause.
I first got a new through axle. Same issue. It didn’t go in easily and it got damaged. But I also noticed that my frame didn’t fit the Wahoo that good. It was wobbly when I placed in on the frame.
The second (replacement) frame did fit the Wahoo right away. Even without the through axle. The dropouts are just a bit closer to each other with this frame.
The space between the dropouts was just too big on the first frame. That way the through axle went in under an angle. It’s not the thread in the frame or the through axle. There are frames that are just badly aligned.
My setup is now perfect with the new frame. I took a week; but Zwift did handle this right away.