I think there are five types of cases that should help you decide if the risk is significant:
1. The visitor is a legitimate member who entered the password correctly the first time
2. The visitor is a legitimate member who made an error in entering the password, but entered the correct password immediately thereafter
3. The visitor is a hacker who guessed a password on the first attempt
4. The visitor is a hacker who knew someone else’s password by illegitimate means
5. The visitor is a hacker who guessed the password before reaching the limit set by Wordfence
Discussion:
a. You cannot know the difference between 1 and 3. However, if you enforce the quality of the passwords, the probability of 3 is so low that you probably should not be concerned
b. The only way you can know if this is the case is if the legitimate member complains. The only thing you can do to mitigate the risk is the require regular password changes or the require 2FA. Otherwise, it is not your problem (unless it was your site that was hacked to discover the password!)
c. Mitigation for case 5 is the same as a. (see above)
Conclusion: Given the huge number of different random passwords possible, the mere increase of attacks, going from say 1 a month to 1000 a month means that maybe it will take dozens of years to figure out a single password via brute force, as opposed to hundreds of years. So I wouldn’t worry about that. If your members are stupid about choosing passwords that are easy to guess, it is hard to protect them from themselves, but enforcing password policies (complexity, regular changes, 2FA) makes the tradeoff between security and ease of use. Lastly, if you yourself have NOT followed all best practices in hardening your site, then you should be concerned, no matter how many attacks you see.