If the ferrules are spigots, meaning there is a gap between sections when you join the rod, the male portion is not seating properly, most likely because the ferrule wasn't fitted like it is SUPPOSED to be.
A properly fitted spigot or even a built-in sleeve-over ferrule should be tapered to match the inside of the female portion so it has a lot of contact between the male & female portions, (yea I know), not unlike a nickel silver ferrule on a bamboo rod. That surface contact should be sufficient to keep the sections together without using wax, tape or anything else.
Good fit comes from good design and proper fitting by the blank maker if they furnish a ferruled blank, or by the builder if they don't. If the ferrule isn't fitted properly, it will never stay together for very long before getting loose. "Roughing it up" with steel wool is far from a proper repair or solution and to be honest, makes it look to me like the builder is clueless about ferrule fit.
Temporary solutions like tape may work or a tacky wax like beeswax may help but keep in mind wax will hold grit and grit will accelerate wear so you could end up making it worse if the fit is really lousy. Any type of oil will only make it slippery and prone to get loose faster.
If I was you, I'd go back to the builder and ask for a proper repair. If the builder didn't ferrule the rod, it may just be a crummy ferrule from the blank maker that is beyond repair. In that case, I'd ask for a refund or another rod.
FWIW - I have a lot of rods with spigot ferrules and I don't wax any of them. For the most part they never come loose even after a whole day of fishing. I do wax my sleeve-over ferruled rods but they honestly don't need the wax either.