> I don't really get why wg-jail also needs default-router to be pointed to bridge0 when the author addms epair-b to bridge0 on the host.

The epair0 interfaces provide the layer 2 (Ethernet) connection between the jail and the host. The jail still needs a default IPv4 (layer 3) gateway so that it can route the traffic coming fron the WireGuard clients back out to the network/Interet (same as any other "router").

(Note: With just a single jail -- such as in this case -- the bridge0 interface isn't actually necessary (and the 192.168.20.1 address would then be assigned to the epair0b, not bridge0, interface on the host). The author went ahead and created a bridge with the intention to create additional jails in the future. This way, multiple jails can all be connected to the same internal "jail network". This is all mentioned in TFA, by the way.)

> which file are the following lines added to anyway?

  cloned_interfaces="bridge0 epair0"
  ifconfig_bridge0="inet 192.168.20.1/24 addm epair0b up"
  ifconfig_epair0b="up"

Those go in /etc/rc.conf on the host.

  defaultrouter="192.168.20.1"

This goes in /etc/rc.conf on the jail (which corresponds to /vm/wg/etc/rc.conf on the host).