Two options:
Headless do not require any fancy display configuration in WSL as the simulator output will be made available via a web client which you can then browse from the window side.
Desktop is a full x-server setup which can work quite nice in WSL, but the Gazebo client is brutal...
Since I use multiple ROS distros and workspaces I had to organize what run where somehow without bloating my shared .zshrc file,
and so I moved all ROS setups out to a separate setup file, see ros_env_setup_template.sh