What did I do wrong?
You made the mistake of thinking that waxing has anything to do with corrosion protection.
So how do you stop the chain from rusting?
Move to Spain.
Chains generally come with some form of anti-corrosion coating, which varies in effectiveness. Some packaged lubricants include corrosion inhibitors.
@harv4130 started
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You made the mistake of thinking that waxing has anything to do with corrosion protection.