Wax holds up quite well against water but does hold grit and tends to deposit it on chainrings, sprockets, and pulleys, and it wears them quicker than 3in1 will. Wax shares the downside of PTFE, you need to clean off the old before applying more or things start wearing fast, which is not an issue for everyone. It is nice and clean.
Here in the winter of northern Minnesota, one good snowy ride with the road salt and sand will strip wax. Not that you would want to use wax in this sort of cold even if the road salt and sand were not an issue, wax gets stiff and brittle in the sorts of cold we get. I am an everyday rider and bike is my mode of transportation for everything, in this climate I need ease of reapplication or I will be replacing chainrings yearly.