I noticed Willy mentioned on another issue that openssl only opens /dev/urandom on first crypto use, and so there is a need to perform a dummy call to force it to initialize before chrooting. I wonder if something similar might be the case with wolf?
FWIW I got the same issue (CONNECTED(00000003), no other output until the chroot is removed) with either a dynamic or static linked wolfSSL 5.6.6 with HAProxy 2.9.2, with wolf built with the same arguments as you ./configure --prefix=/tmp/wolfssl --enable-haproxy --enable-quic (I use a /tmp dir as I was compiling on a different machine to where I was running HAProxy so need to ship the .so out and set the LD_LIBRARY_PATH on the run machine, which is why I tried static compilation first). Static linking to OpenSSL removes the issue, as does removing the chroot.
If the only answer to this is removing the chroot, then it seems to me the issue should not be marked as solved. I am happy to provide more information if anyone wants to investigate further, there is obviously some difference between our setup and Lukas one.