Can you do the same to remotely wake up my MacBook on demand via WoL and ssh into it from my phone? What are the security risks?

I don't think WOL works over Wi-Fi and whether you can get WOL from a USB ethernet adapter.

My proxy doesn't attempt to handle security. Most folks use either Tailscale or some other VPN solution. In my case I use the wireguard server in my router to VPN into home which gives me access to the proxy and consequently to the machine.