I've never heard of wiping the chain when pulling it out, when the wax is sufficiently hot (90C+) it would only leave a sliver of coating anyway. It sounds like it could perhaps be a worthwhile extra step for indoor use to minimise flakes, but I don't think it is worth the hassle for outdoor riding.
Interesting with the magnet, do you think these are mainly chainring shavings that get flushed out? I'll give that a go as I think the molybdenum in the MSW is not going to stick to the magnet, so that could be a great periodic step to remove shavings from the wax!
no idea if the metal is from the cogs or chain, but it’s a black fine powder for the most part
you need a fairly strong magnet