I have literally never heard of this before and I'm pretty sure it wouldn't do what the author thinks it did. From that website:

The most powerful was the crossbow. Barbs on the head of a bolt, the stout arrow shot from a crossbow, were often coated with beeswax to help them pierce armor.

From the end of the sentence I gather we're talking about armour piercing bolts. To start with, armour piercing bolts (and arrows for that matter) did not have barbs. Barbs primarily serve to ensure that once the projectile is stuck in the target, it doesn't come back out easily (among other things). However, barbed arrows have a very broad front (hence sometimes being called broadheads) which is not ideal for penetrating armour (particularly plate armour). You want the force of the arrow concentrated into a narrower point, but you also want a heavy head. These are often referred to as diamond heads, or lozenge heads, among other names because it's really a hard shape to describe. You can actually read Oliver Jessop's typology of medieval arrowheads for free online, and while he is obviously talking about arrowheads there is a significant overlap in the types of heads used for arrows and bolts.

The point here is that the post is starting off on a bad foot by including a feature notably absent from armour piercing heads in a sentence that seems to be intended to discuss that type. For the beeswax, I don't know what it would add to the bolt's performance. The primary question of penetration is going to come from velocity and impact, and a slightly waxy head isn't really going to make much of a difference in the grand scheme of things. Also, I've literally never read about this and I've read a lot of books on medieval archery and crossbows in particular.

As to whether the wax could have been used to attach the heads to the shafts...I suppose it's possible but unlikely. There were to primary methods of attaching a bolt head to the shaft. The first was to use a tang, which is a long bit of metal that inserted into shaft and was secured possibly by tying the head or else by some other means. This was largely replaced by a socket method, where the shaft could be inserted into the end of the bolt head. This was usually secured with glue (fish glue seems to have been pretty common, but it's also pretty water soluble so we have very little surviving evidence of it, meaning this is more guess than proven fact). In some cases it's also possible that the shaft was just kind of rammed into the socket so that it stuck, it's not like bolts used for war were intended for multiple shots.

Josef Alm's European Crossbows: A Survey is a great book on the subject, but also really difficult to get a hold of. For a slightly more accessible, if less detailed, book on the subject I'd recommend Dirk Breiding's A Deadly Art: European Crossbows 1250-1850.

From accounts we have left from the Tower of London, we see that 3 pounds of fish glue was used to glue the heads to the bolt shaft.

12,000 steeled quarrel heads were purchased from Katherine, wife of Walter the king’s painter at the Tower for £53 6s. 8d, and for these heads six pieces of ash wood were purchased for the quarrel shafts, 700 hawks’ wings for the fletchings, 3 lb fish for glue, together with sixteen boards and 300 nails to make six coffers for the shafts, plus the wages of a carpenter and other workmen to make the shafts, polish the heads and glue them to the shafts, an additional £58 12s. 2d., a total of 2¼d. per quarrel.

(York, Richardson)

There is also account of red wax, green wax and wax polish to maintenance of the crossbows, although, fish glue is also mentioned in those same accounts.

Would the wax stop the arrow heads from rusting and weakening? Improve storage?