Aye, the inside of the sheath can become especially difficult to clean when waxes are used. If you don't have it sheathed, but out on display beside the sheath, I'd recommend leaving the wax on. The reason to avoid wax is that it can trap moisture which we should all know is bad for metal. But as it's the protective wax that came with the sword, I doubt moisture would be a problem unless the producer is known for large numbers of RMAs.
If you intend to or prefer to keep it sheathed, you'll definitely want to get the wax off and use a simpler protective solution, mineral oil is a good choice. And take the extra time it takes to clean out the sheath well, otherwise every time you sheath it, you'll just be spreading wax residue both on the sword and on the inside of the sheath.
If you are about to go into battle tomorrow, which is what I can't help but think when people buy "battle-ready" weapons, I don't think it matters either way.