There's no health risk. The raw materials used in the perfumes are so powerful that your nose detects the molecules floating around in the atmosphere at incredibly low concentrations and the perfume industry is absolutely bound up now by restrictions on the raw materials allowed and the dosages in the product.
We now employ no fewer than four chemistry graduates on safety compliance. The perfume industry is losing good and interesting raw materials by the week, which is why perfumes smell so boring and samey. There is never any evidence that material X has caused irritation or cancer when used at 0.2% in a compound which is then dosed in an E de T at 7%, all that has happened is that some chemist in Brussells has fed a rat with the chemical and the poor creature has croaked. There will always be one individual in a million who is sensitive to material X but generally, modern perfumes are safe and innocuous. Natural essential oils are often more harmful - read up on bergamot oil for example.
When you burn a perfumed candle the perfume emanates from the pool of molten wax and is carried by the convection current into the room. A guttering candle flame spreads unburned hydrocarbons in the form of small soot particles, which are nasty and very carcinogenic as they settle deep in the lungs.