I've seen online videos of people waxing their windscreen and the result looks amazing. However, is it safe to do it? Will it have any long term side effects on the windscreen? Also, can I wax all my windows?
tl dr: There are no major safety issues with using wax on your windows.
I have done it before without issue. It will do a couple of things for you. First, it will fill in minor imperfections in the glass. When I say minor, I mean the really minor stuff. This will help it look more optically clear. The second thing it will do is cause a whetting effect with water, where water will bead up and roll off of the glass without much worry/fuss. This makes it a lot easier to see through when it's raining.
The down side of waxing the windscreen is after a while, the wipers will tend to smear the coating, which will decrease visibility and will precipitate a new coating.
A better option than actually using wax is to use a product like Rain-X. There are many different brands on the market and all probably work fairly well. I use Rain-X in the form of wiper fluid, which applies a new coat every time I wash the windscreen ... but I'm lazy like that. Rain-X and the like won't smear on the windows over time, but may cause a bit of wiper chidder when time for reapplication.