I guess what Works for some doesn't for others, and that's fine, cause I'm just relaying my experiences here, and there is certainly more then one way to skin cat, but from Where I stand, I see no reason to change. That doesn't mean everyone should do what I or others do though. I say do what works best for the individual.
I can understand the thinking that the wax can cause problems. In fact I already mentioned I once thought that way too, because i have always been aware that wax and adhesives aren't normally a good combination, so I don't dispute that at all, but after experiencing it for Myself, I aggree with Sheldon on this one, and think Chris stated it much better then My lousy attempt. There is not much residue if any visable after I make the threads. I have had no failures from It, and believe me I have some customers that put them to the test. I'm not saying I won't ever see a failure, but no matter How You do them that would be a bold statement to make. I did change one out to a different material recently, and i had to heat it up to unscrew It. When I looked at the tenon it was smooth with glue as if It were sealed with it, so it stuck, and go figure, but there was less in the ferrule threads then the wood tenon. You could say that was because there was more heat directly at the ferrule, but still, it stuck to the tenon too, even under that kind of treatment which is much worse then normal conditions.
I also see more failures from the result of oversized tenons then probably anything else.
Fibre ferrules, I've owned My share of cues with them, They are tuff, granted, but I always ended up switching them out with a different material pretty soon into owning them, also see My share of house cues & other peoples cues with them, and I constantly have to reglue them or replace them. My opinion, It doesn't matter how You do them, they can all fail eventually, for the same reason, and it's all the movement that takes place. It may be one of the worse materials for that, but not the only one from what I've seen.

Greg