Probably because I have been applying wax to my wheels for decades, I am not buying the whole wax will melt theory promoted on that product's website.
"The secret is WheelWax is actually a polymer and contains no wax which would melt and cause wheels to attract more brake dust. The formula for WheelWax contains an antistatic element that changes the surface polarity of the wheels to repel brake dust particles."
But that said, whether you apply a wax, polish or sealant to your wheels, there is no doubt that they will stay cleaner longer and be easier to clean by putting something on them. But you then need to be careful what you use to wash them afterwards as something too harsh will strip away all your efforts. And ditching those OEM brake pads will also go a long way to keeping your wheels clean.