I am new to cheesemaking, but I have read on a few sites (Rikki Carrol’s for one) that paraffin is way to soft to use for cheesemaking and the cracks allow mold and moisture into your cheese. Not something that you want to happen. They do say that beeswax can be used with no worries.
Quote from her website “Our cheese wax is a special microcrystalline wax that will resist cracking and hold up to the daily bumps and bruises of aging cheese. The color of the wax makes no difference, but our “yellow” wax contains no colorant. Paraffin is much too soft and will readily crack during aging, allowing molds to enter and grow on the cheese surface. Bees wax is nice but does not have the strength to survive aging unless handled carefully.”
I personally have used her wax many times over with no issues, yet.