Waxed floss is not bad.
There's nothing bad about using waxed dental floss and there's nothing harmful in that wax coating that would actually cause you any health issues.
The wax coating that is applied to waxed dental floss is a natural wax that is made of food grade wax just like the wax coating put on some fruits and vegetables.
The wax coating on dental floss will do you no harm.
The coating of wax on waxed dental floss helps the dental floss glide more easily through your teeth so that you can more easily clean your teeth.
I use waxed dental floss and am glad I started doing so as it's much easier to use and makes the flossing of my teeth go much faster.