Well, intuition on behalf of beeswax is born out by "studies", I am happy to report. Although... the better qualities of beeswax vs paraffin stems from the fact that paraffin amde on the cheap; it is not synthetic but, extracted very crudely without removal of the dangerous compounds. And the worst thing about beeswax: pesticides!
Here's some "studies".
EPA summary on candles and incense with references to the literature.
http://web.ksl.com/dump/news/cc/series/candepa.htm These referenced studies are very pertinent. The first is free on-line
Fine PM, Cass GR, Simoneit BRT. 1999. Characterization of fine particle emissions from
burning church candles. Environmental Science and Technology, 33:2352-2362.
Lau C, Fiedler H, Hutzinger O, Schwind KH, Hosseinpour J. 1997. Levels of selected
organic compounds in materials for candle production and human exposure to candle
emissions. Chemosphere, 34(5-7):1623-1630.
From an insurance journal, on claims raelted to sooting
http://www.claimsmag.com/Issues/Aug01/blacksoot.asp On sooting:
This is realted to burn rate (Fine et al.) more that composition - at least for candles like paraffin, beeswax, soywax - that have similar flame and melt temperatures. Long wicks, high air flow/turbulence, core melts (in, e.g., thick candles), are key factors. If candles is shaped and burned properly (and doesn't contain pigments/scent that change its burn characteristics), then sooting should not be a problem. Moreover, the particulates in a good burn are smaller than is considred dangerous. It is interesting to note that tallow based candles with different melt and flame characteristics were uncontrollably sooty; in earlier times they were the alternative to beeswax, and were banned for ecclesiastical use because of their mess.
From Claims:
Thickness and length of the wick -The wick conveys the melted paraffin to the flame. Thicker or longer wicks burn more fuel. Manufacturers match the wick diameter to the candle size and composition, but wick length is determined by the user. A wick length over 1/4 inch will tend to convey excessive fuel and produce more soot.
Thick candles or glass-enclosed candles - Thick candles develop a hollow around the wick which impedes the flow of air, resulting in a "fuel rich" or sooty flame. The sides of glass containers provide a similar obstruction. The sides may also confine the heat, resulting in a larger wax pool and richer fuel supply than the wick can burn efficiently.
Scented candles - The more scented oils and additives present, the softer the candle will be and the greater its soot production. Scented oils may vaporize directly from the wax pool, interfering with normal combustion at the wick.
Air turbulence - A flickering flame emits more soot. Candles near doorways or traffic areas are subject to drafts and turbulence, and produce more soot.
In addition to the number and type of candles present, there are several clues that tend to distinguish candle soot from other sources.
Organic Compounds:
Polycyclic aromatic hydrocarbons PAHs are probably of most concern. What you get in the air comes from what is already present in the candle wax and not combusted in the flame. Paraffins contain over 400 times the PAHs of beeswax. This is really related to the process isolating what is called a paraffin - not a mixture of long hyrocarbons but a complex extract from petroleum. Removing these PAHs from the wax would not be difficult; or direct synthesis as mixtures of long hydrocarbons would avoid them altogether. Either strategy would eliminate the PAH problem. This would add cost, and the apparent niche for paraffin is that it is cheap. But a clean paraffin candle not a difficult problem.
Beeswax has substantially more chlorophenols, chlorobenzenes, dioxins, - compounds originating from pesticides. Soy, barberry, etc. candles would presumably have the same problem. Analyses are still showing DDT! These compounds could probably be removed as well, but may be difficult to remove without also removng some natural constituents of the wax.
Lau et al give some perspective on volatile organic compounds by comparing VOC levels in air after buring 30 candles versus smoking 1 cigarette. Formaldeyde and acetaldehyde are ~100x worse for 1 cigarette.
Fine et al give an amazingly detailed analysis of the constituents in the candles and in their gaseous products, with some very interesting comparisions.
One major health hazard from burning candles was very surprising. All altar boys who had to reach up to light tall candles remember the problems encountered because of the tendency of hot wicks, after the flame is extinguished, to curl and become embedded in the wax. To solve this problem some candle makers had the great idea of stiffening the wicks by embedding them with lead particulates.

These manufacturers will be making some lawyers wealthy.