I just finished a cue with Wenge because I had some and wanted to try it. The cue plays fine and I don't think you will have any playability issues with the wood and it looks good (I don't think it's ugly at all) when finished but I don't think I will use it again. It's a grainy, rough wood and, in my opinion, Rosewood, Ebony or Cocobolo look better if you need a dark wood and are easier to work with. I brush on my finish while the lathe is spinning and use finishing epoxy because I'm not set up to spray toxic stuff in my house. With most woods I can get by with 2-3 coats, it took 4 coats with the Wenge but once it's sealed it's fine. I would go ahead and give it a try and make your own judgement.
