I wondered who in the world thought a wax slug would be useful. After finally getting home and watching the video I see it's not a wax slug at all; there's shot in it.
I guess the guy wasn't sharp enough to figure out how to put together a double boiler and melt wax the safe way. It's a hydrocarbon mix and burns easily. You know, like methane, etc. I guess he never did any canning with his granny.