grsec kernel: RTNETLINK answers: Operation not supported

[8177y3hfj2nv5 at mailbox.org]

Hello,

I apologise if this is not a question for here, but I haven't been able
to find a solution for my problem, so I thought I'd try.

I'm running a grsec kernel, and am trying to set up wireguard. I have it
working on the standard kernel, but not on the grsec 4.9 one.

The problem is this:

sudo ip link add dev wg0 type wireguard
RTNETLINK answers: Operation not supported

I thought I traced it back to kernel configuration of several NETFILTER
items, which state 'm'. So I've been trying to find a module responsible
for this, and the closest I have come is nfnetlink, but even after
modprobe nfnetlink it doesn't work.

Any help is much appreciated. Thank you for all the great work on this
fantastic program.

Cheers