You're referring to the different kind of abrasiveness.

A clay bar works on the surface utilizing lubricants for it to pick up anything NOT level with the surface it is working on.

Unlike compounds, polishes, sanding, where you use friction therefore leveling (reducing) the top-most layer, claying uses a pulling action wherein the sticky clay surface pulls the contaminants OUTWARD from the paint surface or whatever surface it is you're working on (waxed, sealed, varnished, etc).

Think of sanding/polishing/compounding as exfoliating the skin with loofah or scrubs, while using a clay is like using those blackhead strips on your nose... It'll only pickup whatever's not level to the general surface.

To a certain degree, some wax/sealant will be removed, but not primarily from the claying, but more from the fact that a qd and rubbing motion is used, which, even a water-wash will do the same reduction.

But claying will not strip surface protectants. It's not capable of doing so.

That's the nice thing about claying, prior to its invention and widespread use, the only way detailers/painters know how to remove surface contaminants like overspray, fallout, etc is to level the surface. With clay, that's not necessary.