Oboy - I think that IS the problem in this case. Linseed wants some time to fully cure, to begin with, and should be left alone until you can't smell it any more.
Then the beeswax is a very soft wax that won't take a good brilliant shine and steadfastly resists anything else going on over the top of it. Skip the beeswax next time if you want it to look glossy wet. Beeswax is great for a duller finish, though, so it has a definite place. It also blends well with other waxes (carnauba, paraffin) for different effects.
What wood are you working, and how high a grit did you sand to? Before you started finishing, were all the tooling & sanding marks completely gone from the surface? I had a very good friend who was a true artistic genius - the world lost him in 2007 - and I can't count how many times he prodded me with "You need to give more attention to your sanding, Timmy - I can see a FLAW here... and just there".