Howdy,
My understanding is that the wax helps to maintain a "waterproof/leakproof" container, prevent fouling of the mead by the taste of horn (I've drank out of an uncoated horn and won't ever do so again), and generally preserve the integrity of your mead for more advantageous quaffing.
In my opinion the only drawbacks are:
Wax smell and taste imparted to the mead (I've quaffed from more than one horn coated with different types of what was supposed to be neutral)
The actual smell of the horn itself. I just have a hyper-sensitive schnozola and have learned to trust in it.
Glass stems are neutral in taste, aroma, and touch, they provide the best medium to view the appearance of the mead, they concentrate and accentuate the aroma of the mead more markedly and efficiently, they provide an ideal medium to aerate the mead in order to release the full bouquet and flavor profile of the mead as you drink, and they really allow the mead to put it's best foot forward for evaluation.
That's my story and I'm sticking to it! LOL
Cheers,
Oskaar