Hi Kick, once you wet sand and it dries the surface will look dull as you have 'scratched' the gloss off through sanding. If there is enough depth of finish, as you move up to higher grades of grit they act more as polishing agents than cutting and eventually at around 8000 to 12000 grit on the micro mesh pads you should start to see the shine reappear. If not, don't worry as that is what the car polish is meant to do.
One trap to look out for is not enough depth of finish which caught me out on the Swampy Tele tonight as I was going hard at it with 1500 only to notice some edges starting to reveal grain underneath which means raw timber. Arghhh.......so close to the finish line but now I have to build up a few more coats to then sand off. It was looking good for entering in this month's GOTM too but that will most likely pass before being ready for final polishing again.