I've heard that you can get poisoning from cakes that contain orange zest from the preservative sprayed on the outer surface of oranges before transportation from tropical countries to our shops. Is this true? Can you wash these preservatives off with water or something else? Does baking make the compound less/more poisonous?
Whether or not you can 'wash' off a pesticide/fungicide/preservative is a function of its water solubility.
In the cases of something which is water soluble, yes, a simple wash will suffice.
Methidathion is also water soluble:
For other produce which might be treated with an insoluble chemical compound, you can try using a vinegar wash. This study on potatoes indicates that washing removes most compounds, as does peeling and food cooking/preparation.
Of course, there is a very simple manner in which you can guarantee no pesticide/fungicide/preservative contamination of your food: buy organic.
Whenever I make cakes or pies which require lemon, lime or orange zest, I buy organic. Then I don't have to worry.
So, given the short half-lives of these compounds on the fruits, it would be difficult (albeit not entirely impossible if someone ate 10 crates of orange zest) to be poisoned by the residue left on the zest. The same follows for any wax compound: it's a matter of the amount sprayed (which is regulated differently by country) and the amount of time it's left on the fruit. Some waxes (beeswax) are natural products.
Edited to add:
The following waxes are commonly used in citrus handling:
Any coating with carnauba wax will not rinse off in water, nor will it wash off with vinegar. It is soluble in ether, but that's not a big help.
Any coating with shellac will not rinse off in water. You will need to use an baking soda (alkaline compound) to remove it.
The polyethylene emulsion will depend on the particular compound used.
Orange zest itself is not poisonous. The rind has a lot of citrus oils in it, and intensifies the orange flavour a great deal. Hence, many recipes call for orange zest as an ingredient. As a matter of fact, it is a primary ingredient in orange marmalade. The white part of an orange peel (the pith) is very bitter, but not poisonous.
If you are going to use an orange to make some sort of zest, a very thorough washing and scrubbing would be in order. The Independent of the UK had an article talking about the rinds of oranges having a great deal of pesticide on them. And this would stand to reason since generally the rind is thrown away when most people consume oranges.
As for the method of preservation, that varies widely by country, and even region. Some areas only use a wax which is safe according to the FDA (although may feel and taste gross if you eat it). As their web page indicates
Otherwise you will have to get specific on the preservative you are concerned about. You have not provided enough information to answer the question fully.
I hope that helps.