I wonder how long do you keep the chain in the wax bath? Sounds like you pull the chain from the wax when it's still hot. Wouldn't the wax drips off the rollers?
I have not done this, but logic would tell me to pull it out while still very hot and let the excess drip off to leave just a thin film on the chain with minimal excess. The loose stuff on the outside does nothing more than flake off and gum up the rest of your drivetrain.