Actually yes, that can happen. You can only squeeze so much wax into the 1/2 inch space between the bottom of the toilet and the floor. In addition, many of the extra thick wax rings use a foam inner gasket encased in wax, to give it the thickness. The foam does not compress like the wax would. You may have to reset the toilet with a standard wax.
It may be you set the toilet on something as well. Your toilet should be set level, so check it out.