My jacketed .22s are coated in wax? I wasn't aware of that.
Are they really jacketed? I don't think I've ever seen a true jacketed .22. I'm not doubting you -- just curious. The .22's I buy are either lead, or "copper-washed" or plated or some such nonsense, but I don't recall ever seeing true jacketed .22's.
In general, my understanding is that all lead (non-jacketed) .22LR cartridges are coated or dipped in wax or some similar lubricant. As I'm sure y'all know, you generally need lube on lead bullets to keep them from leaving excessive lead deposits in your barrel. Centerfire cartridges with lead bullets have the lub (a wax-based substance, typically) contained in "lube grooves" that you can't see because they are inside the cartridge case. The .22 rimfire, however, is the last "heeled" bullet in common use. That means that the bullet itself is the same diameter at the cartridge case, and the portion of the bullet that is inside the case is smaller than bore size. As a result, it would do no good to put lube down there, because it wouldn't contact the bore.
So all lead .22 bullets have the lube on the portion of the bullet that is exposed, i.e., not inside the case. Since the bullets are so small, lube grooves are not used (at least not in my experience). Instead, the bullets are simply coated in lube. If you run them in your fingers, you can feel the waxy, sometimes tacky substance.
I don't know about plated or copper-washed bullets. It may be that the plating or other surface treatment eliminates the need for lube.
Incidentally, heel-based bullets used to be the norm in the earliest days of metallic cartridges, because it is much easier and quicker to bore chambers for cartridges used heeled bullets -- it's a simply cylinder. They were abandoned for centerfire cartridges because of the tendency of the exposed lubricant to collect dirt. The .22LR is the only cartridge in common use today that retains the original heel-based design.