There is an order of events to consider:
Wax shot Paalm BEFORE he knew she was Lessie. Up until the Mr. Cravat thing, he thinks she's just wearing Lessie's bones. So we don't know if Wax wouldn't have been completely crippled by the knowledge that he was hunting an insane version of his wife. That may have also destroyed his relationship with Steris and Marasi. He probably would have tried reasoning with her. Can't say for certain, but it could have been significantly worse if Wax had known. Everything he did would have been different.
Also, there are larger events in play than Wax. And we don't know what these experiences are going to do to him. Yes, the knowledge hurt him, but he still did what was needed. Knowing that he was potentially being played by Harmony, he still did what he felt to be right (stopping Paalm in a way he knew would be horrifying to her). You saw him at the end of the book. If he'd been that way before the end, he would have lost.