Speaking from experience, it's probably gone. These body bag roses have about a 50% chance of surviving once planted. If you get them early enough and soak them well, that improves the chances. I wouldn't buy any more body bags. Buy either mail order bare root or potted roses. The wax is put on to help keep them hydrated, but I don't know if it negatively affects them in the long run.

Thanks so much buford! I won't waste my time then. I bought 2 and one is doing well and the other is pitiful. Off to the store I go!

The wax is there to help prevent the bush from drying out before it's planted. After planting, the sun will melt the wax away and everything should be hunky dory.