I would try to get it off. I'm not sure how well wax would digest (or not digest, as the case may be), but you wouldn't want your chin eating the wax and that causing some sort of health problem.
How much wax, how deep is it in the fur? Gently try to work it out of the fur. Chins shouldn't be able to get into wax during playtime, please re-evaluate her play room and do some more chin proofing for her safety.