Unfortunately that’s a hardware limitation with the CM4 adapter, and that’s the reason why they bundle the CM4 Lite version with onboard WiFi. It doesn’t provide the pins for connecting to the ClockworkPi mainboard’s WiFi module. See: How to enable the AP6256 on the main board - #7 by ClockworkBird
On the bright side, the WiFi antenna they include isn’t great, so you might see better performance with a USB adapter.