The reason that there is a list of approved adapters is because WD has to include the drivers for all of the adapters that it supports in the firmware. It is not like a PC where all you have to do is download and install a driver. The WD box only supports the adapters that are on the official list that you referred to in your post. If you have an adapter that is not on the list, then the driver for it is not included in the WD firmware and there is very little chance that it will work.
If you want to use the WD box wirelessly, get an adapter that is on the approved list.
