I've been waxing for about two months now, riding 13-14km every day on commute. At the first (rather light) rain, I'd thought it was fine and didn't re-wax immediately. About 4 days later I'd discovered some light spots of superficial rust on the chain.
Keep in mind I've followed MSPEEDWAX (previously Molten Speed Wax) directions and thoroughly washed all the lubricant on the chain (put simply: 2 baths on querosene, 2 baths on degreaser and isopropyl alcohol for a finish), so it was bare metal under the wax. This probably contributed to the rust spots.