If wax isn't a lubricant, then that is it's strength. I wholly believe that wet lubes actively contribute to accelerating drivetrain wear-- after all, a wet drill bit cuts faster than a dry one.

I get 4,000+ miles out of 10 and 11 speed chains, and never have to degrease anything. With a waxed drivetrain, there is no maintenance other than refreshing the wax. The rest of the components are maintenance-free.

So I would say the fuzz is about wax being the cleanest and quietest chain treatment there is. It being super inexpensive is just a bonus.