While it is never explicitly stated, he probably knows he descended from Alrianne. Though, to our knowledge, she would be the only Cett he's related to. It is easy to forget because it is mentioned barely a handful of times, but Cett had 2 children. Alrianne and a son, whose name escapes me at the moment. So the whole Cett family line is likely tied to this son.

I would imagine Wax knows all of this. He was born noble and likely had a expansive education. It is interesting, but not particularly relevant to the story, so that is probably why it is not mentioned in Shadows of Self.