Many storebought oranges have a slight coating of wax. And it won't be Beeswax.
However, for maximum health leave some of the white/pith at least - Source of Bioflavonoids, but it does tend to make the juice frothy due to the Pectins.
Ideally for straight citrus juice use a press like the Hamilton Beach 932 Commercial Manual Juicer. Don't even bother with the short/stubby ones however...