The flame itself often leads to deep damage to the skin, but it all depends on the time of the factor's action.
The advantage of a candle burn, while of course no burn at all, is that the area is small (unless of course it's the largest candle with a wooden wick, etc.). As a rule, the areas most often affected are the face and upper limbs.
Even when the cause of the burn is removed, the process of tissue damage from overheating continues.