Finishes differ in the amount of color they add to wood. Though you may not notice much of a difference if you are applying the finish over a stain, there is a significant difference when no stain or other coloring steps are used.
In the accompanying picture, you can see the differences clearly.
On the far left is paste wax. It adds almost no coloring to the walnut. Next is water-based finish, which also doesn’t add color, but it does darken the wood a little because of the penetration.
In the middle is nitrocellulose lacquer, which adds a slight yellowing to the wood. Clear (bleached) shellac is very similar. Next is polyurethane varnish. Varnishes can differ quite significantly in the amount of yellow/orange color they add to the wood. But most polyurethane varnishes are very close to this.
Finally, on the far right is orange (amber) shellac, which adds more orange coloring than any other finish.
So a big consideration when choosing a finish for unstained wood is the color you want to add. One of the main reasons, in fact, for choosing a water-based finish is to keep the color of the wood the same while still achieving a protective coat (which wax doesn’t provide).