Hi Mark,
I would bet heavily on the acids eating the thread. I personally finish the leather pieces first, then sew them. I know vinegar was used in the old days, but there may be choices that are less acidic now. AF? I am not sure that is a good idea. If it will stain horn and wood, I would think it is harsh on leather. The wax is not hurting anything. Linen thread beats any synthetic with leather. Synthetic saws through the leather over time. Try switching to a different dye, and finishing before sewing. I then just touch up the edges and any slips. I hope this helps, Marc