I think you’re a bit stuck, I’m afraid.
As noted above, kernel 3.14 probably doesn’t support wireguard. I think the “kernel headers for this kernel does not seem to be installed.” message you saw might have been because of a missing symbolic link.
I’ve checked the OSMC repo and can’t see any headers for the 4.9 kernel.
One other point. Currently DKMS doesn’t wotk well with OSMC due to a few longstanding issues with the kernel headers.