Hi, I also have a few that are picky about what they want.
But as far as the waxies, they are great to put some weight on a skinney lizard.
And they are a nice snack, like candy, but I don't think they have much nutritional value to them, as far as using them alone.
Sometimes if left without a couple meals, they will eat a cricket for you, or superworm. Maybe he has not been HUNGRY enough ! 
I personally would TRY to introduce more variety, they love moths, seems to stimulate them, the CHASE !!
Are you offering the BIG adult crickets? Just wondering because some of mine get very excited almost when they see a big one, 
I feed my crickets and superworms all kinds of healthy stuff, so I know WHAT the collareds are getting.
Hope you can interest him in something MORE !! Hey post his pic, when ya get a chance,
Eve