Yes and I believe they do regularly use them on the Russian side, at least.

They were also the cause of a fire on Mir. https://en.wikipedia.org/wiki/Mir_EO-23

They were definitely used on Mir- in 1997 one caught fire, blocking the crew's access to their escape Soyuz, though they put it out.

It looks like NASA helped redesign it to be safer, creating the modern Solid Fuel Oxygen Generator (SFOG) system still in use on the ISS as the backup.

Candles are useful when oxygen has been consumed because of respiration or a fire. They're not useful in a leak.

Conservation of mass: if a cubic meter of air escapes, that's 1.25 kg, and you need at least that much in candles. (You actually need 2 kg because the candle isn't solid oxygen)

There's ultimately 1.2 t of atmosphere on the ISS. This will also result in a pure oxygen atmosphere, which is dangerous. You need nitrogen.