Does wax on citrus fruit make the zest unsafe to eat or compromise its flavor?
I recently did some experimenting on this exact topic. I can't contribute anything to the safety part of your question, but I have some notes regarding flavor.

The experiment: I blind tasted lemon zest in a group of associates and friends with varying degrees of palate development. Most people were able to differentiate between fresh zest with wax and fresh zest without. Nobody could tell the difference once we'd incorporated the zest into a dish, probably since the wax reflows and becomes very diluted. The experiment didn't eliminate every possible variable or control for every factor, but I thought I'd pass this along in case it's useful to you.

In my personal experience - when I compare waxed and unwaxed citrus fruit side by side - the taste of fresh zest is slightly bittered by the presence of wax. Mouthfeel is appreciably gummier and I find it harder to perceive the zest's moisture as well.

If enough of us perform this experiment we could cobble together our own unofficial data :) I'd be more than happy to crunch the stats.