The other day i soldered a cheap kit that contained a few small ceramic disk capacitors. When i populated them to the board, i did not really notice the wax coating, but after i soldered them, i immediated saw that they made a mess on my esd mat. I had one that was not yet soldered, and with taht one i could confirm that they were coated in some kind of wax. Not all of them were, just all of a certain value.
Now in hindsight, i remember from the past, especially when i tore down electronics as a kid, that a lot of those disk capacitors were covered in wax. Sometimes whole boards were covered. For the whole boards i figured it was some kind of cheap conformal coating or vibration dampener, but what is the reason to coat only capacitors?