When using a ptfe & paraffin waxed chain, does the casette require any lube?
I'm going to give chain waxing with PTFE and paraffin a shot as I'm sick of filthy dirty hands when I get a puncture.

Carry a pair of disposable nitrile gloves if this is your only reason for waxing. A lot less hassle!

I've read quite about about the process of cleaning the chain and applying the wax and PTFE.
What I'm not clear on is do I put any lube or spray on the rear cassette and front crank?

You should actually strip all oil and grime from the cassette and chain ring(s).  Wax adheres best to very clean metal. Oil contamination will cause the wax to break off of the chain surface earlier, requiring more frequent waxing.
Typically what happens is that the chain transfers a very thin layer of wax to the cassette/chain ring. The reason you don’t wax these components ahead of time is that the drive train has reasonable tight tolerances. The layer of wax takes space. Adding wax to everything will throw off the tolerances and shifting performance.  Just stick to waxing the chain and all will be good.

I imagine with no oil they will get rusty eventually, but oil will negate the clean chain benefit of waxing?

If you are using higher end components they usually have some sort of coating that prevents rust. You may get spot rust on lower end cassettes/rings. This is usually superficial as chain rub removes most rust on the chain cassette/ring interface.