Hmm, haven't heard that before either but I'm thinking that it might go along with the "no sun exposure after waxing" rule, assuming that you would be swimming outdoors.
The other possibility is that freshly waxed skin and chlorine might not be a happy combination??!!
Im a beauty therapist and the no swimming rule is more of a precaution. People with highly sensitive skin can react to chlorine etc after just being waxed as the hair follicles are still open. I'd wait a couple of hours to be on the safe side. Otherwise, happy swimming!!
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