The red stuff is a sealer and prevents air getting in, and locks the two pieces together as one part. I have never tried it, but if you were going to use beeswax it should go on the threads. However those threads are delicate and on other brushes without the brass self centering drop in part, they can snap off quite easily. You don't want to put any stress in that area by applying too much wax, or by overtightening. If it works, I would still consider replacing it, and maybe keeping that one as a spare, as I'm not sure how it would hold up over time, and a gradual lessening of performance may occur. The most important area of a brush to be 100% clean is the nozzle, around 95% of newbie issues can be directly related to thinking the nozzle is clean (when you get to that point you think its clean, that's when you clean it again, just to make sure
), and this could mean the wax needs replacing pretty often - having to take apart a piece that is meant to stay together, possibly fairly regularly, is going to damage/wear the threads, and it takes very little for a nozzle not to perform properly.
Also as a newbie, you want to know that your brush is in top condition, otherwise there is always a doubt as to whether it is gun performance or inexperience/incorrect techniques that is the issue. And if the brush isn't good to begin with, while you are new to airbrushing you may not realise what it's best performance should be. (I had to replace a nozzle once and I had a 'ah, now I remember what, it's supposed to be like' moment
. Airbrushing has a steep learning curve, and it makes learning much easier knowing everything is right with the brush.