Fortunately, that IS nothing more than a rumor, if it is Knotty Boy wax you are using. The beeswax in it does make it somewhat water-repellant, which is very nice for holding new locks together and still allowing you to (gently) wash your hair. But the heat from the water does cause some of the wax to be washed out each time, so no, there is no risk in the wax building up to the point of breakage unless you are using WAY too much and not washing your dreads. Now, this does not apply to those out there thinking its a good idea to try melting down straight beeswax and using that to start dreadlocks. First of all, it's a very bad idea as beeswax is highly flammable, sticks to EVERYTHING and is really impossible to work with, and second of all, beeswax does nothing for your locks except coat them with a waxy, candle-y mess, and hair soaked with beeswax are not dreadlocks. Using this method would pretty much guarantee heavy, waxy build-up and would most likely lead to serious breakage — perhaps this is what the little bird was warning you against.