All of the above are true but, in my experience, it depends on the type of wax you're talking about:
For bee's wax - a little sticky
It helps prevent the thread from tangling during sewing.
It helps prevent adhesive from penetrating the thread.
Another important feature is that waxed thread helps 'lock' the thread in place during sewing, keeping the previous stitches tight while you move on.
Paraffin based wax - slippery
Used as a lubricant to make the awl produce holes easier
On endbands, it helps keep them clean and makes them easier to clean.
One of the Bookbums @
Ish Kabibble Books
Never stop learning!