There are a lot of pros to waxing your thread when sewing by hand. Waxing the thread stiffens it and makes it easier to draw through the fabric, it also makes the thread less likly to not since it stays straight. The wax coating makes it so you are able to sew with longer pieces of thread while it also smoothes down any fluffy bits so the thread is less likly to snap.
Non waxed threads tends to be softer to work with and can also somtimes be slow to work with if the thread is very thick. some threads though, will become too stiff and will be hard to work with like the Americana Glaced Cotton Quilting thread ,wich is already glaced so it does not need to be waxed. In The Work Womens Guide from 1837, they say that silk thread if finely spun does not need to be waxed , but cotton and linen should always be wax especially when very thin
But in the end whether or not you wax your thread is really up to you and how you want the thread to react when you are sewing, it depends on the project as well so it is a good idea to to try both methods before deciding wich one to use for a specific project.