I have also tried installing Wazuh agent to Silverblue (40 running in VM on Boxes). The installation (running sudo rpm-ostree install wazuh-agent) fails during post-install scripts. The errors look similar to those with mdatp, outputs below.
I am able to create all the mentioned files and folders with sudo, so it’s not a question of the filesystem being read-only 
evakkuri@silverblue40-2 ~> journalctl -t 'rpm-ostree(wazuh-agent.post)'
Oct 20 11:37:25 silverblue40-2 rpm-ostree(wazuh-agent.post)[3570]: /proc/self/fd/5: line 2: /var/ossec/bin/wazuh-control: No such file or directory
Oct 20 11:37:25 silverblue40-2 rpm-ostree(wazuh-agent.post)[3571]: touch: cannot touch '/var/ossec/logs/active-responses.log': No such file or directory
Oct 20 11:37:25 silverblue40-2 rpm-ostree(wazuh-agent.post)[3573]: chown: cannot access '/var/ossec/logs/active-responses.log': No such file or directory
Oct 20 11:37:25 silverblue40-2 rpm-ostree(wazuh-agent.post)[3575]: chmod: cannot access '/var/ossec/logs/active-responses.log': No such file or directory
Oct 20 11:37:25 silverblue40-2 rpm-ostree(wazuh-agent.post)[3568]: /proc/self/fd/5: line 21: /var/ossec/packages_files/agent_installation_scripts/src/init/dist-detect.sh>