Wax says that he wants an explanation, an apology. He wants to think that killing Lessie was wrong, that it shouldn't have happened. He doesn't take the earring because he knows that it had to happen. Maybe not on a conscious level, but until Sazed tells him it was right, and refuses to say it was wrong, he has a tiny, misguided hope that it didn't need to happen.
And as he is, he will take that hope to his grave. I think that may be a personal subplot through the book.
On a lighter subject, we have a vague limit on the abilities of kandra. A little while ago, I had a lot of ideas about the possibilities of kandra, and this states that they need to be a certain size to maintain sentience. Yay!