Webb, one coat of any oil will really only accentuate the grain colors, it won't do anything to create a sheen. And beeswax is a quite dull wax, it does not provide a polished look like carnuba wax can, or at least not as much. But any wax really needs a film finish below it to help bring the surface to life. Wax over oil or bare wood is very subtle, hardly noticeable.
To resolve your issues, you'd need a solvent to completely remove the wax, then probably some sanding to make sure the wax is completely removed as not to mess with a surface film finish. The oil is in the wood, it will need time, up to a couple weeks at room temp, to completely cure. Then you can effectively start over.
I don't know what Yorkshire grit is, or what it claims to do. In 30 years of turning, whatever it is, I've never needed it... I prefer to keep things simple and not listen to the "advice" of product marketing.
If you want the look of a polished sheen surface, you'll need a varnish/shellac/lacquer product to give a film finish on top the wood, or several coats of tung oil, enough that it no longer absorbs and instead *very* thin coats will start to cure into a film on the surface of the wood. And a ton of time to oil it like that. Some version of wiping varnish may be your friend, store bought or homemade. Homemade varnish talk galore is found on the board.
As an aside, I cannot recommend enough Bob Flexner's "Understanding Wood Finishing". This book is about the science and process of finishing, and studying it will help you understand the roll of penetrating oils, surface films, and waxes (which "finish the finish", as it were), and how to achieve success with wood finishing. This is a highly respected book on this board, and in the general woodworking world. Have fun with it! Finishing is not something to lose sleep over or allow a bunch of confusion in your mind.
Oils penetrate. Resins form a surface film. Waxes fill in micro scratches on a film finish making them look and feel smoother. That is the base-level understanding of all wood finishing.