There are so many different glazes, with different properties, so it probably varies with each one. For items I want to be shiny, I use a varathane floor sealer. The coats are thin, so I usually do 3 coats, but it's never tacky, and seems pretty durable.
I have tried other glosses like Sculpey and Fimo, but some of them have grown tacky over time and ruined the items, even with just one or two coats. With some of those thicker glosses, I would think too many coats might keep the layers from drying property, or make the coats easier to peel off (like nail polish), but it's hard to say.
I also like to use Renaissance wax to give things a satin shine. It's super easy to apply, hardens quickly, and a little goes a long way. I never have to worry about tackiness or it peeling off.