My 8 wrasse don't make any type of mess what so ever!
Really wondering what kind you have and how long you've had them?
The majority of wrasse I (we) keep actually sleep inside cracks and holes of rock. Three of my 8 sleep in the sand.
In the QT (and probably DT) they were diving around in the sand and swishing sand around. My guess was to check out the area and get their sleeping quarters as they wanted it...
After a few days, they just dive in and go to sleep. Maybe they just need to get them a comfortable area, give it a few days.
LMK