I keep some bees, render my wax & such. Wax, like honey, can come in many different color variations. "Pure" beeswax, straight from the bee when they first lay it down, is white. This is not the bleached stuff you might find in the store though. But that's the look they're trying to go for. The more white comb that is melted into the batch, the lighter the color. The more brood comb, pollen, dirt and other non-wax stuff that gets into the batch, the darker yellow it becomes. Some places, the rendered wax is brown. It may not look as nice as white or yellow but it's often the same as dark yellow -- just a local variant.
If you're using it for shooting, then don't worry about the color or other impurities. If you're using it for cosmetics, candles or other things where impurities start to matter a lot, then mind your source. A lot of the chemicals used by commercial beekeepers are lipophilic, meaning they accumulate in the wax over time. So wax can be a concentrated source of chemical contaminants as commercial beekeepers tend to render combs only ever few years at most. If you're mixing patch lube, I wouldn't worry about it in the least. But if you're making salves and balms, then it might be a concern. Debris can be filtered out easily enough using coffee filters, paper towels, etc. I do my wax melting in the summer when I can use a solar melter. I like the set-it-and-forget-it approach. But there's no way to filter out chemical contaminants.
Keep in mind that one of the advantages of the way we keep bees & extract honey nowadays is that beekeepers don't produce much wax since they only render off the cappings of the cells, not the entire comb. Framed combs with plastic foundation are uncapped, spun in a centrifuge to extract the honey and then placed back in the hives for the bees to clean up and reuse. It takes a lot of the hive's resources to lay wax all over again so, by not rendering the combs, the hives end up being able to produce more honey. The small amounts of wax from the cappings don't have much value either. There are cheaper alternatives, like parafin that are fine for most non-beekeeping needs. So a lot of commercial beeks around here will simply trade the small amount of wax they produce for store credit from their equipment supplier, who will invest in the right rendering equipment to render on a larger scale & package it for resale. A fair bit is actually sold back to beekeepers in the form of wax foundation for frames or wax sprayed on to plastic foundation. It's not too far a stretch to say that it is almost a waste product for most beekeepers. The money is in the pollination contracts and honey sales. It sounds odd but, yea, beekeepers often end up buying back the wax they sell to the equipment supplier.
I don't sell my wax since it isn't worth the time and effort for the small amounts that most people want. I've made candles & such for family & sold some candles at a local farmer's market (rather, my friend sold it for me). Stuff that is too dirty or that spills & I end up scraping off the garage floor get used for things like forging or making fire cakes (wood chips mixed with dirty wax). It has a use. But it doesn't have a lot of commercial value.
If you happen to find a local beekeeper that keeps top bar hives or foundationless frames, they'll tend to have a lot more wax produced since they usually have to crush the entire comb in order to extract the honey. That crushed comb can all be rendered down for wax, not just the cell cappings. They tend to have a more natural approach as well -- fewer, if any, chemical contaminants. So that's the good stuff for cosmetic uses.