Wicks show price movement, relative to the previous box. Once the bar is formed, the price can move up or down without changing enough to form a new box. That price movement is what the wick shows.
Wicks are enabled by default on Renko charts. You can adjust wick color & enable/disable them in the Symbol tab of the Chart settings dialog.
Please note that Renko boxes, along with their wicks, are built based on the closing prices of original price bars. Renko boxes use the price bars as a data source.