There really is no downside. In that particular paper, they mention that cemetery candles, at least the ones used around there, aren't made of fully refined paraffin and contain more impurities than normal. Who knows what they are burning. Nothing I've seen for sale.
The paraffin waxes we use for candles are mostly fully refined and food grade. They are used for both purposes. A few ingredients like scale wax that might be used in a container blend may not be considered fully refined, but it's a clean, high-quality American / Canadian product.
If you are worried about VOCs like those in the article and more, stay away from gas stations and don't ever, ever fill up your car with gas. That'll give you a massive dose compared to the numbers they were talking about in the cemetery.
I don't know anyone who would fill every square inch of their room with candles and burn them all at once with the doors and windows closed. I do know people who make candles that emanate enough scent to fill an entire apartment or house, and people who love burning them. Hardly anyone making soy candles is using less then 9% FO by weight and sometimes up to 12% of synthetic mystery compounds. THAT is launching chemicals into the air.
Paraffin and soy oil that are burning cleanly indeed produce just CO2 and H2O. When they produce soot, they also release partial combustion products that are the same for both waxes.
In the early days, a study was done that is still used to make the point that soy candles produce less soot. A large food and agricultural conglomerate (Cargill, if I recall) gave a grant to a researcher named Tong Wang at an agricultural college in Iowa (soybean capital of the country) in order to get a paper with the results they wanted.
As all experienced candlemakers know, soy wax is more viscous than paraffin-based waxes and hence requires larger wicks. Wang accomplished what her patron wanted by wicking soy candles reasonably, then using the same size wick in paraffin and noting the large amount of soot produced.
Why didn't she try other sizes of wicking for paraffin? She did. The data was omitted from the paper and we'll never see it. The handy marketing gimmicks that some people use to sell soy candles are based on lack of information -- and on fraudulent information.
Here's some good info: