When the primer is ignited, the pressure in the primer pocket, trying to force it's way through the tiny little flash hole, will build enough pressure to partially push the primer back out of the pocket (normally till it gets stopped on the recoil shield). Drilling the flash hole out allows this gas to escape into the actual empty space of the cartridge and push out your wax or hot glue bullet without the primer setback issue.
This does not happen on a loaded round because when the main charge goes off, it pushes the entire case back against the recoil shield and reseats the primer.