One commercial site for "cheese wax" states:
Contains: Cheese Wax, a formulation of paraffin and microcrystalline wax, and food grade coloring (FD&C Colors).
Google "cheese wax" are be prepared to read until your go cross-eyed. True cheeseheads (people making their own home-brew cheeses) use the waxes to cover their products.
It still does not appear like it is anything we on here have much use for.....other than creating this thread!!!!!! And making many readers hungry for good cheese.