The guidance isn't shown because it changes depending on your system. If I'm not mistaken, gnome uses update-alternatives, kde uses its system config GUI, some window managers just ask you to modify a line in some random config file, etc. It would be a waste of time to document something that is so specific to the user's system and that is already documented in the window manager docs.

As @jreuben11 mentioned, if installed via flatpak/snap then wezterm does not show up in update-alternatives. However directly setting gsettings works for me:

for flatpak

gsettings set org.gnome.desktop.default-applications.terminal exec 'flatpak run org.wezfurlong.wezterm'

or for snap it should be directly on your path IIRC

gsettings set org.gnome.desktop.default-applications.terminal exec 'wezterm'