the wax is to help the plant not to dry out you can remove it or let it fall off as the plant grows

Best to leave it as its part of the grafting process.

I would say the wax is put on to seal the cut. Grape vines often bleed when pruned or damaged. At this time of year the sap is in full flow to produce this year's growth, so leave it as it is.

We planted grape vines last year which also had a wax seal. No problems - the vine just goes on growing.