Not all waxed jackets are created equal. But, for the most part, you can trust them to be fairly warm.
Generally speaking, a waxed jacket has insulating properties, which can help to retain body heat and keep the wearer warm. This insulation can vary based on the thickness and density of the fabric, as well as how well it fits the wearer's body.
In addition, external factors – such as temperature and wind – can also affect how warm a jacket feels.