I made a wenge pickguard (with plastic base for strength) and don't know whether it's ok to leave it unfinished. It accepts lemon oil pretty well. I've heard unfinished wenge is used for fretboards like rosewood, so I guess it's no wrong to leave the pickguard unfinished?
yeah, unless you wanted it to look really glossy and flat, but leaving it unfinished wont cause you any problem. its just a visual option.