wax is wax (in a pinch that is), but ski wax or "sex" wax (surfboard wax) is designed for more friction and more glide.
Sure, a candle will do in a pinch, but it will wear off faster.
Dry powdery snow is like loose sand and the flakes create a lot of drag, whereas wet snow packs down and creates a firmer surface to glide over, once you get moving.