THere are no protection downsides. However, Klasse looks better on certain colors. Klasse tends to give a slight darker shine. It lacks alot of depth though. Adding a wax topper is totally just a preference thing. On dark colors you'll notice a difference, but on lighter color cars it's alittle bit more difficult to see the difference.
Dude, if you like to wax, just wax it. But if you're more minded for protection, then skip the wax, and just keep applying ksg and you'll be good