Why is cheese wax red?
You haven't seen a lot of waxed cheese, or you've only seen a few specific ones. I can easily find (and have frequently eaten) green, black, and yellow ones, though the yellow in some cases is more of a clear wax. Other colors are possible though the range may be somewhat limited by having the cheese wax be non-toxic (generally felt to be a good idea.)

One supplier has red, clear, yellow, purple and black (no green there.) Here's the purple.

This may also be a regional thing - if all the people that buy cheese in your area expect red wax and are more likely to buy cheese waxed that color, you'll see more of it, as suppliers will learn to choose red wax when supplying that region.