Candles are a $2.3 Billion dollar-a-year industry. They use many components that are not approved as GRAS for human consumption. There is little to no regulation of the market or the products. They put significantly more of the odorific compounds into the air, as they are designed to "fill a room" with an aroma rather than "Fill a pair of lungs".
Oh, and by the way, from
Candles
During 2006-2010, U.S. fire departments responded to an estimated average of 11,640 home structure fires started by candles per year. These fires caused an annual average of 126 civilian deaths, 953 civilian fire injuries, and $438 million in direct property damage. Candles caused 3% of the reported home fires, 5% of home fire deaths, 7% of home fire injuries, and 6% of direct property damage during this period. On average, 32 home candle fires were reported per day.
(Note that surprising ratio: The annual cost in direct property damage is 19% of the annual market, and that doesn't count deaths and injuries!!!!!)
So where's the concern about candles?
Edit: I know this might appear OT, but it's one of the first things that pops into my head any time I hear someone say "We need the federal government to make sure e-cigarettes are safe!"