The possibility of Wagner using nukes on their own country isn't the only thing folks are worried about.
It's the possibility of Wagner distributing nuclear material to other unstable warring countries around the world. Not to mention that a number of dictators won't mind getting their hands on them. Wagner group is already working with a number of warlords, so it's definitely something the world is going to be mindful of.
The world saw what happened when Libya fell and the country's armory was used to enhance terrorist groups in North Africa.