One of the main drawbacks of candles is that they produce fine dust, soot. That's why you can see the flame - without the soot it would burn like alcohol or butane. Carbohydrates, and other chemicals, natural or not, break down in the heat to something undefined, including a lot of potential harmful substances - any additional chemicals (it does not matter if natural or not in that regard, quality control is actually easier with synthetics) make things worse. Even bees don't produce wax with clean combustion in mind, granted, they do smell good, but that's all. A single candle can turn the air quality in a room pretty bad.
Anyway, that doesn't hurt us much, humans evolved with fire and we can tolerate some stuff a lot better than animals, and it always depends on total exposure. It's not like medieval smoke kitchens. Or smoking. A candle now and then sure doesn't hurt, but I wouldn't let one burn 24/7.
So, safe is relative, candles are, apart from the fire risk, not a big danger to start with, but there's definitly nothing healthy about them, no matter how natural, essential, esoteric, or whatnot they are marketed as. Once the molecules cracked down in the heat to burnable volatiles and recombine randomly with radicals there is nothing natural about it anymore.
I dislike most scented stuff, to me people on the street with noticeable perfume stink like a chemical plant, I even use unscented soap. I was at the Yankee Candle factory once - a quite overwhelming experience. Scents are chemicals, pretty small molecules that get everywhere, and nobody really bothers what they do. Again, "natural" doesn't mean "harmless". We're overloaded with chemicals anyway, I'm not paranoid about it, but I avoid what I can.
How well rabbits cope with air pollution, considering that they live in burrows with very clean air and so on, I simply don't know.