Ya, wax is an oil, and penetrates a little, just like WD-40.
But I think the main reason the things are coming out is
the hot base metal expands, and that relaxes the grip on the stud.
After heating, I would ice cube the stud, and it should come out easier.
also, touching the stud with the wax cools the stud as well.
so I think temp differentials between the two metal components is more of a factor.