The reason that Gouda Cheese is wrapped in wax is to help with the aging process of the cheese and help keep mold off the cheese.
The wax on the Gouda Cheese helps prevent unwanted mold growth and retains moisture while the cheese ages.
Some other cheeses have the wax on them as well to help during the aging process.
When you get the cheese make sure to remove the wax before eating it as the wax would not be very tasty and should not be eaten anyway.
However keep the wax on the Gouda Cheese until you're ready to eat the Gouda Cheese as it helps preserve it.
If you remove the wax and don't eat the Gouda Cheese then the Gouda Cheese may go bad sooner.