Sort of. Smoke wasn't the biggest problem, but the residue from all of the burning wax would accumulate over time, making the ceiling and eventually anything else in the room look dull and dirty. This was especially noticeable on painted ceilings, most famously the Sistine Chapel. A large part of the restoration work done in the Sistine in the 80s and 90s was removing this build up.

Edit: Fixed auto correct "all of" into "allow".

In the case of plasterwork ceilings, they would simply be repainted once soot staining would become too noticeable and in cases where the plasterwork was actually damaged it would be redone. Of course, people who could actually afford to have house with decorative ceilings in most cases also had the means to maintain servants that would look after said house.

Standards of cleanliness have changed quite drastically since the times when candle chandeliers were in common use (gas lighting started becoming common around mid-19th century and electric lighting was introduced by the end of the same century), so what would appear as ridiculously dirty ceilings and walls to us would not necessarily be perceived as such by people at the time.