If your new to paint correction, the most common mistake is moving from one step to the next without inspecting your work.
You should be compounding until ALL of the scratches are gone. you dont move onto the polishing step until you 100% confirm this. That means removing all the product and checking your work with whatever lighting your noticing your current scratch's and swirls with.
If your satisfied with the defect removal, you then move onto polishing.
Polish until your are satisfied with the gloss and clarity. This is technically your last step for your paint correction. If you cant get the clarity you are looking for, dont expect a wax or sealant to produce that for you. consider your wax or sealant to protect the paint, not make it shiny. while they can make the paint look better they will not remove the scratch's or increase the clarity in quality lighting.
On many of the newer cars with OEM paint (and especially if they have used the automatic car wash), you will need to go at them pretty aggressively with the compounding step and a light cutting pad. Another big mistake I see and experience anytime I introduce someone to paint correction is they believe that their car is new so they dont require a cutting pad or compound. When I tried to explain paint hardness to my brother, he told me his paint is fairly new so its gotta be hard paint with less scratches. He correlated paint hardness with the age of the respray. thinking hardness changed with age. It can get really confusing in the beginning. which is why its best for people new to correction to use a system or kit, that includes and instructs this product with this pad and this step and so on ect, ect...
Another real mistake I saw every time ( I taught my dad and 2 brothers and sister to correct paint) was not enough time focused on the compounding step. They either ran the polisher at low speed, lack of pressure or moved it too fast. unfortunately all the detailing how to videos make it look to easy. You see the instructor fly through the step , pull the tape and show a dramatic 50/50 picture. that goes for the autogeek video and the griots garage vids. problem with how to video's is they are removing hazing from a wool pad (that was put into the paint for the video purposes) and not actual defects from normal daily driving wear and tear, which are a LOT harder to remove. just to note i'm a big proponent of the autogeek how to videos. you can learn a lot from them, but they are not very accurate in that sense.
One of my brothers did exactly what you are describing. He polished his car with SF4000 (because he insisted it didnt need to be compounded because it looked glossy in his garage), and waxed it. He then proceeded to wait a month to inspect it with gas station lighting and saw all the defects remained. This caused him to give up completely with paint correction. He fought me tooth and nail the entire time, telling me what his car needed and didnt, instead of doing a test spot and inspecting his work. I finally gave up on him. I had the best results with my dad. Because he watched me correct one of his classic cars from washing to the final wipedown over a holiday weekend. he saw with his own eyes what it took to complete the job. He saw it wasnt a 3 hour process, it was actually a 3 day process. IMO, nothing replicates this type of teaching. He saw how much pressure I used, how slow I moved the polisher and that I spend 20 minutes on one panel with one step. I believe it because of this, that my dad (who is the most rigid person to teach anything) is the best one out of the 4 who gets paint correction.