The biggest safety issue with candles is the lead used to keep the wicks upright when it burns lead is released into the air. I am sure some of the scents may be detrimental but the lead is dangerous to birds.
Quoted form Nature Chest "Scented candles, potpourri, incense, plug-ins, as well as other products containing a high concentration of volatile oils (essential oils) can cause either stimulation or depression of the central nervous system, as well as possible irritation to the eyes, nose and upper respiratory tract, depending on the oil and concentration used. Birds are very susceptible to the effects of inhaled volatile toxins, including essential oils. Any volatile oil (fragrance) has the potential for causing illness and possible death in birds. Obviously the concentration in a product and the length of exposure are factors to be considered. Many manufacturers have started making their cleaning products more pleasing to the senses by including these essential oils also. Products containing a high concentration of volatile oils should be avoided completely if you own a bird. Usually the more "perfumey" the smell, the more toxic the product."