Sure I can tie a fly with out wax, but I sure use a heck of a lot less turns using waxed thread.
Ah, I get it. The pine resin based wax acts like a cement to set materials and thread in place.
Secondly, the wax helps distribute the tension on the thread amongst all the thread fibres because they are stuck together. Without the wax, some fibres would be under tighter tension than others and would break first, then the rest of the fibres would follow. Because of this, you can get tighter wraps with waxed thread.