Did you heat the rootstock above the abient temp? Did you seal the graft with tape as well as wax? I've seen drip tape laid at the base of the rootstocks (soil level). The tape is modified to carry warm water and insolated between trees to conserve on heat loss. Warm bottoms and cool tops make for better root strike and better sap flow for grafts.

As we're in 8B, we don't heat rootstock here prior to grafting. At least it's not necessary with camellias and jap maples. I move my newly grafted plants into the barn for temperature control. I haven't used wax in the past. I was going to try a product called Treekote this year--it's not a wax so it doesn't need heating, but it seals. A friend of mine up north uses it with good results. I'll try to figure out a way to keep the root zone warmer--although the barn protects from weather extremes, that concrete floor is pretty cold. Thanks for the suggestions.