In my opinion (note my user name is "FormerHarvardGradAdmin"*) saying that you wish to stay on the waitlist is just that -- staying on the waitlist, no more / no less. By asking to stay on the waitlist you are saying nothing about a future decision, one that it not in front of you at this time, about accepting an offer of admission.
If they subsequently make you an offer, and you accept it, and then you want to back out of that acceptance -- here are my thoughts about that. Are the profs at this lower-choice school people you might reasonably cross professional paths with in the future? Like at conferences or artsy events while you're still in grad school? If yes, then I think there is a risk in accepting then backing out. They might reasonably feel ill-used by such a decision. (On the other hand, it's also reasonable to imagine they won't remember you <wink>.) But hopefully you can see what I'm saying: that the profs at this less-than-top-choice school may form a less-than-positive opinion of you trustworthiness if you accept, then pull out.
One last thought, in relation to you saying "I guess I need to give this school a reply very soon -- my feeling is that letting them wait for more than a week is rude." You could write back and say that, with so many factors in play at this time, you would like to know a date by which they require your answer. Basically: ask them for a deadline for your response to their question about staying on the waitlist.
* I made an asterisk in relation to my user name and my Harvard background for this reason. Because my experience at an elite school may not be transferable in this instance, especially considering your artsy field. Maybe the professors in your field have less investment in admissions than they did in the programs I administered. I'd honestly need more information to evaluate this.