You are confusing two different concept. Both of them describe light but they are structured differently.
Your title refers to a "wave". A "wave" is a classical description of light in terms of Maxwell's equations. The energy density of a classical light wave depends on the amplitude of the wave and not on the frequency.
The body of your question uses the expression $E = hf$, which is part of a quantum description of light in terms of photon (light particles, more or less) In particular this gives the energy of a photon in terms of it's frequency.
Either description is valid, but you have to use them on their own terms and not try to mix them willy-nilly. (Well, once you know them very well you'll find that you can get away with mixing them sometimes; but sometimes is slippery.)
The reason amplitude doesn't appear in the quantum formula you are asking about is because that expression applies to one photon, and the strength of the light is related to the number of photons present.
The advice I give beginners about light is: pick one description and learn it well on it's own merits ("well" being defined by being able to calculate confidently using all the concepts in that description), then learn the other one well (same criteria), and finally start thinking about the relationship between them when you are able compare the results of non-trivial calculation between frameworks.