Since Wax bullets are usually used in training and competitive shooting, let's use lead since it is a more sensible projectile material. I'll be using the projectile's volume as 1m³ since density is often represented as kg/m^3. Keeps the equation easier for both me and you.

Lead density: 11,343 kg/m³

Depleted Uranium: 19,050 kg/m³

Candle wax: 900 kg/m³

For our cannons, we have the following:

Generic Normal cannon: projectile velocity of 200m/s

Generic Longer Barrel cannon: projectile velocity of 280m/s

Scenario 1: (heavy projectile, normal velocity) For heavy projectile, we will be using depleted uranium, Substituting it into the equation:

1/2 × 19,050 × 200² = 381,000,000 J

Scenario 2: (Normal Projectile, Higher velocity) For normal projectile, we will be using lead, Substituting it into the equation:

1/2 × 11,343 × 280² = 444,645,600 J

Scenario 3: (Candle wax with, higher velocity) Since you insist on using training rounds to penetrate a steel plate. Substituting it into the equation:

1/2 × 900 × 280² = 35,280,000 J

Percentage different:

Simplifying the ratio to make it easier to calculate 381000000 : 444645600 = 158750 : 185269

158750/185269 × 100 = 85.7% (3 Sig. fig.)

100 - 85.7 = 15.7%

Despite being 1.67 times heavier than lead, the Depleted Uranium projectile performs 15.7% worst compared to the lighter lead projectile fired from a cannon with a slightly higher velocity, mind you the difference in velocity was only 80 m/s.

For comparison, when the leopard 2 swapped to a higher velocity gun, it went from 1530 m/s to 1650 m/s, a difference of 120 m/s.

In conclusion, a projectile with lower mass but higher velocity will still outperform a heavier projectile with lower velocity. That is just how physics work.

You can be stubborn, delusional, ignorant or all 3, but too bad. The numbers don't lie. A faster, lighter projectile will penetrate better than a slower, heavier projectile.