In a lot of ways chams and small cage birds are similar. Their respiratory systems are much alike...they both have air sacs connected to their lungs and in birds they are also connected to their hollow bones. They can be more sensitive to air quality and fumes. Many types of scented candles produce volatile oils as they burn that can coat the surfaces in the room with petroleum or waxy residues. This residue then attracts dust, pollens, who knows what. Some types of candles probably produce more than others and it may also depend on the specific chemical that produces a particular scent.
Because I don't know much about the specific types, I don't burn scented candles in the room where my birds/chams live just to be safe. If I want to scent a room for a while I put drops of unheated essential oil in a shallow dish instead.