You might have noticed that many kits or plain knives come with some grafting tape as well. It is a way for manufacturers to add more value for money. The grafting tape is mandatory for successful grafting, so you would have to purchase it separately anyway.
Its main role is to reinforce the union between the scion and the rootstock. At the same time, it protects the new graft from water and air, which will inevitably lead to dehydration. When using wax, it replaces the paste normally applied later on. It has the same purpose – protection against dehydration.