Concur with Tracy and Matt's advice.
"Frosted Detail" 3D-printed acrylic plastic is a different kind of animal in the modeling zoo that has characteristics unlike those of the polystyrene or resin we've become accustomed to, mostly because of how it is manufactured layer by layer.
Products printed in acrylic usually do take some cleaning and "post-curing" (sunlight or other UV exposure), discussed in the comments above.
That said, if it appears that the print itself is flawed, not just covered with waxy residue, please contact Shapeways customer service through their website. Shapeways has an excellent reprint or refund policy and their customer service is responsive.
Important advice: never use acetone or acetate (e.g. fingernail polish remover). It will attack the plastic (melt it) and ruin your parts.
Safely clean with mineral oil, or mild dishwashing detergent like "Dawn" or "Fairy" in water, baby shampoo (no conditioner) or "Simple Green". Rinse well and paint soon after cleaning - the paint seals the plastic. A customer reported that "Goo-Gone" attacked the plastic so probably best to avoid that product.
For painting acrylic parts, acrylic paints meant for plastic work very well. Enamels may not harden on 3D-printed plastic if there is any uncured resin present. For those who prefer enamels such as "Colourcoats", exposing the part to direct sunlight or a UV lamp for several hours before painting is critical to ensure all the resin has hardened.
For those that like to use methyl ethyl ketone "MEK" as airbrush thinner, that can cause a powdery residue to appear on the parts days and weeks after painting. The powdery residue is not known to be harmful to the parts, just a nuisance to clean. It is best to avoid airbrush thinners containing harsh chemicals.
Modelers report great success with Tamiya gray primer out of the bottle. Tamiya's gray primer in the "rattle can" primer does have some harsh chemicals so care is advised if you use that product.
Hope all this helps and best wishes on your build!