I've never heard of making the actual casts out of sealing wax: just plaster or sulphur.
I do think, however, that I have seen or heard about making the
impressions in sealing wax, followed by making plaster casts from the sealing wax impressions.
Two possible advantages: the melted sealing wax might be softer when you pressed the coin into it, meaning less danger of breaking the coin or damaging its
patina.
Plus the sealing wax impression, once hardened, would be pretty much indestructible, so you could store it indefinitely if you so desired.
Storing the sealing wax impressions would require a lot of extra effort, space, and
money, however, with little compensating advantage. You could remake the
cast if you broke or damaged the first one, but that rarely happens; of you could make additional casts for other scholars who might desire them, also a
rare eventuality.