It's worth the extra work. I keep three chains in rotation and generally get about four weeks of riding out of each chain. That means I'm only having to get out the wax a few times a year.
My favorite part about it is that the chain is clean to touch. I don't have to carry gloves in my saddle bag in case I have to touch my chain, and I don't get black lines on my leg.
The biggest down side is the initial prep, but silca has some one step chain stripper that works great. You only have to do that once for the life of a chain, though, so it's really not that big of a deal.
That's exactly correct. The point that the wax could interfere with the measurement is only where the chain checker touches the chain. Waxed chains wear much slower than usual, though, so I wouldn't be too worried about it.