There are no advantages if you want to use the inside of the lemon but it you want to use the zest for cake making etc, it`s better to have unwaxed. Unless you like the taste of wax, of course.
I'm afraid they do it to oranges as well. All the oranges, lemons and limes sold in UK supermarkets have been waxed as standard for a good 20 years now. Unwaxed oranges are slowly starting to appear, but unwaxed lemons and limes are relatively easy to find now.