I am a knifemaker that makes sheaths. At least one for every knife and sometimes two. I like a stiff sheath (not the same as hard) for any knife that is going to see any use other than sitting in a drawer. I like to get the stiffness from the leather and not from the finish or it's application. I have used and will continue to use the wax/oil finish because I love the results. One of those results being sold knives.

It is a great finish when properly applied, but it is not suitable for every application. It would be my last choice on any sheath that is made of thin leather, is stained, or one that has any tooling or laces of any kind. While I too use other finishes on my sheaths the wax/oil is still my personal favorite.
As a knifemaker the one thing that jerks my chain is the "using or working" sheath, or any sheath for that mater, that has a thin coat of "wonder finish" (fill in what ever brand you want, most all I have tried were good) on the outside and nothing to protect the leather, at all, on the inside. I have seen some sheaths, and their knives, for sale with nothing on them but stain. Unsealed leather will soak up moisture and hold it next to the knife, which is not a good thing. So whatever I happen to be using to finish a sheath, I like to make sure that the inside gets a coat too.
A knife with its sheath is a total package. They should compliment each other and the use for which they were designed. I won't limit myself to using only one type of finish when there are so many good ones available that fill different needs.