wget is GPLv3 licensed which requires you to give users all of the information (such as firmware keys or a way of replacing the firmware keys) to replace wget.
Practically speaking this would require providing access to replace the entire system (though as you say the GPL wouldn't apply to separate programs as that is generally considered to not be a derivative work from a copyright perspective).
Interestingly GPLv2 has similar but lighter requirements -- you have to provide instructions ("scripts") on how to build and install the software. But obviously many people believe that this was not strong enough to deal with firmware-locked systems and thus GPLv3 was born.
I can write a shell script that invokes wget, but that doesn't mean my shell script is subject to GPL.
I can use wget on a Windows machine, it doesn't mean Microsoft has to give me the Windows source code.