It's possible that the WSL kernel has that code compiled-in rather than as a loadable module. If they ship the kernel config somewhere, you could verify with
Using bpftrace to watch calls to module_request, openat, etc., it looks like when the kernel calls modprobe, it doesn't even look at the disable-algif.conf file:
Restart WSL2, run the bpftrace, and try `sudo modprobe algif-aead`, and that shows it looking at (or I guess opening) other files in /etc/modprobe.d, including the new one.
https://security-tracker.debian.org/tracker/CVE-2026-31431
https://ubuntu.com/security/CVE-2026-31431
Also, disabling algif_aead is suggested as mitigation