Honestly @RFR, I don't know what you're doing, but you're doing something wrong. As Rob says, playing WAV files is built in, and has been for some time. Now, Apple has switched from iTunes to Apple Music, which does want you to basically buy a streaming service, like Spotify, but you can still use it to store and play your audio files. There's simply no reason why the files will not show up, in my experience, which is about 10 years, starting with High Sierra Mac OS.
You should not need the cloud to import your files into the Mac. Put them on an external drive, formatted FAT32, to remove any NTFS file attributes/ownership. Plug that into your Mac and you should see exactly the same file structure and files on the Mac that you saw on your Windows PC.
Then, open the Music (nee iTunes) app. The default for importing music will convert your WAV files to AAC (a "lossy" format, but arguably better than MP3). I use 320kbps, but if you want, you can preserve the lossless file by choosing the Settings menu item from the app name (top menu) drop-down, go to Files, and open the Import Settings dialog. You can choose the default AAC, or anything you want, including WAV! Since you have WAV files, there's no metadata embedded in those files, so you'll have to manually enter that information (which is why I use AAC these days - my ears cannot hear the difference for casual listening).
Once you have your stuff in the Music app, you can plug your iPhone into the Mac (using a USB to lightening cable - borrowed from the iPhone charger if you don't have another one), and "sync" the library to the phone, where you can listen to everything via earbuds/airpods/bluetooth/CarPlay and most any other method. The phone will not work as a USB drive, however.
I made my living for a couple decades+ working on Windows ("Wintel") systems but started fooling around with Macs around 2012, and switched completely over 5 years ago. Apple aggravates me, and it's not all roses, but I'll take the UI and decluttered workflows any day.