Wax is one of those things, as a chemist, I get geeky about.
Basically, waxes are sacrificial coatings wherever they are used. They are sacrificial because they can be easily renewed compared to what's underneath. On wood or other uncoated materials they serve as a primary protectant of the underlying material. On coated surfaces, like painted metal or wood and gelcoat, they were developed to serve as protection of the underlying coating.
Depending on how the wax product is formulated it can provide a barrier layer to water and water-based stuff that tends to stain, oxidation and UV damage.
In addition to protection waxes can enhance the gloss of a surface as well as apparent depth and distinction of image. They do this by "perfecting" the surface through filling microscopic imperfections. To help do this a wax product can be formulated with polishing aids (i.e., abrasives).
I believe the "wax free" paints you refer to are primarily the clear-coat acrylics. While these don't appear to gain much from waxing in protecting against apparent UV or oxidation damage, wax will help prevent other kinds of damage sucha s etching from acidic contaminants (bird droppings, acid rain, etc.). But in the end, it's about aesthetics and extending the life of the coating. And even the acrylics oxidize and suffer UV damage - they just do so very gracefully.
For gelcoat on fiberglass, wax serves to protect the gelcoat from oxidation, UV degradation and chemical damage. It's about aesthetics and practical lifetime of the gelcoat. If you aren't too concerned about the appearance and are comfortable painting in something like twenty years, then you can surely go wax free - the fiberglass won't rot or corrode for lack of waxing. The gelcoat is, however, very prone to oxidation and resultant chalking of the surface.
Me -- I like the gloss.