Hi Bastien,
Thanks for using Wazuh.
The main advantage of Virustotal is that it is just a collection of antiviruses that are always updated and that it tests your files automatically with all AVs until it gets a match. There is no offline version of it and the manager will need to connect it to the internet in order to send its information over to VirustTotal.
You could probably set up a VM where you would install some or all the AVs VirusTotal uses, and use some kind of script to copy files that generated alerts on wazuh, so they can be scanned by the Antiviruses you've installed.
I hope this answers your question.
Best regards and happy holidays,
Andrés