Most waxes have NO abbrasive qualities so they will not hide or fill swirls, scratches, or spider webbing. The idea with wax is to use it LAST after the scratches have been removed. Ideally, you would use a clay bar, then a mild abbrasive (if the scratches cannot be removed with a 'cleaner'), then a cleaner, then a polish/wax. By the time you are ready to apply the wax, your paint surface should be extremely smooth (like glass) and swirl/scratch free.
A mild abbrasive will remove some of the clear coat which is what the 'surface gloss' is, so yes you are partially correct in your assumtion but their shouldn't be any loss of gloss of shine. Here's the thing though....when you have swirls and scratches in your paint, they are really scratches/swirls in the clear coat, therefore you have to remove some of the clear coat to effectively 'remove' the scratches. Understand? I can't think of a better way to describe it right now. You have to bring the clear coat down to the level of the scratches. If you don't use a product that has some cutting ability, all your doing is filling the scratches in to bring them level with the clear coat....so they seem removed but they are only filled in temporarily. When the filler wears down, the scratches will be visable again.
Most people don't need a heavy or even moderate abbrasive. Most can get away with using something like 3M Swirl Mark Remover followed by a cleaner then their polish/wax. 3M SMR is a mild abbrasive that can be applied by hand with some good results. I know alot of people run and hide when they hear the word
abbrasive but they can be very useful in removing scratches and most abbrasives are very very mild and are only meant to remove mild scratches/swirls.
BTW: Wax is not meant for vinyl or plastic trim. It is meant for automotive paint.