It can clog up the jockey wheels a bit if the chain is lathered in the stuff on first use. I tend to give them a quick once over after a quick ride, it removes easily. You want the wax inside the chain not all over the outside.
In relation, another advantage not mentioned too much is cleaning your cassette and jockey wheels vs regular lube. You don’t get that hard caked on black crap like you do with normal lube. Literally none at all.