For a science project, my DS compared the effect of incense, cigarette smoke and scented candles on plant growth. He used a bunch of plants as test subjects and individual little greenhouses that we set up around the plants. The plants that were subject to scented candles showed the least amount of impaired growth, but all groups were negatively affected compared to the control group that didn't have any kind of smoke at all. The incense group suffered the worst, BTW.
He also did a lot of research into the chemicals used in incense and candles. There is very little regulation of the industry and whole lot of toxic chemicals used.
He didn't look into natural candles and natural scents because he was actually focused on comparing the incense and cigarette groups. He threw scented candles in at the last minute.
Anyway, the outcome is that I don't allow incense burning in the house anymore. He used to burn incense in his room, but now he's convinced it's a bad idea. We never used scented candles anyway, but now I wouldn't allow them either. I don't mind a few natural candles in the house, but I like to make sure they are in open, well ventilated spaces. In a smaller room (eg. bathroom), I don't burn them for long.