The audible effect of the waveform knob depends on two things:
a) the setting of the brightness knob => The more brightness you set (clockwise), the more you hear a difference between the different waveform settings.
b) the frequency response of the audio chain. If you use a keyboard (or any other linear) amplifier, you will notice a wide spectrum of different timbres which you can set with the waveform and the brightness knobs. But if you use a guitar or a bass amp, you risk a) to overdrive these since their inputs are much more sensitive because magnetic guitar and bass pickups have a much lower output voltage than a theremin which has line level, and b) to get a muffled sound and muddy timbre because of the integrated "cow tail" equalization for the non linear frequency response of the pickups.
With a good audio chain, you should get a violin timbre with the waveform knob at 11 o'clock and the brightness knob at 3 o'clock, and a clarinet timbre with both knobs at 3 o'clock.
When fixing or adjusting theremins, I always use a Yamaha MSP-5 active near field studio monitor, to make sure that I hear everything.