I don't believe there is a hard or fast rule or indeed a correct answer. Soft, very tacky wax does not have many applications with my tying - although now and again it can be useful. Many will find it useful.
I do like using less tacky, harder was for certain options: tying with pearsalls especially and it also works well on finer threads such as powersilk and Sheer (my favourites!). This can help when touch dubbing, but just waxed thread alone can make a nice contrast for a rib.
I would suggest you learn to dub without wax though initially - noodling the dubbing around the thread or using a plit thread are often more productive methods.
Experiment and find what suits you. As with many materials, less is more
Cheers,