Candles and kids are not always a good mix (cue Burning Down the House).
Paraffin, made from fossil fuel, is mixed with most soy candles to help them burn.
Palm oil, another common ingredient in candles, is often grown on plantations that replace tropical rainforests, which is to be avoided at all costs.
LEDs are manufactured from metals and plastics. Candles can be manufactured from natural ingredients. Local beeswax candles have a lower footprint than an LED lighting solution.