Smoke is bad for you. The oxidized shit in the smoke is carcinogenic. This is true of all burnt material. Blackened catfish is carcinogenic. Seared steak is carcinogenic. Hippie's not a meat-eater, but even then, if you put asparagus on the grill, the charred lines on the asparagus stalk? Carcinogenic.
As I understand it, the soot-carbon products of burning are all carcinogenic. That includes, to my knowledge, all smoke.
Breathing near a campfire is carcinogenic. Standing near someone smoking a cigarette is carcinogenic.
Breathing the air in a major city is carcinogenic.
The smoke from incense, given that is true smoke, not some kind of steam or vapor or anything, is carcinogenic.
Cigarettes are certainly *more* carcinogenic, and your body has a certain ability to eliminate free radicals at a given rate, depending on your diet (eat lots of, I dunno, pomegranate and maybe you can tolerate an extra stick of incense a day without ever getting cancer) but particles from smoke, in general, cause cancer.
Good candles will burn with what is called a "complete" flame, which won't put off smoke because the flame is clean, burns everything, doesn't exude soot. That will be healthier, in general, but of course you can't get the same aroma from a candle as you can from incense, because the smokiness itself has an odor. (Just like I'm not going to stop searing my meat and braise it all, because the browning and blackening reactions produce flavorful molecules.)
On a related note, if you're terribly concerned about this, it's a good reason to bake your weed into brownies or get a good vaporizer for it instead of burning it and inhaling the smoke. Because pot smoke, too, causes cancer.
You can hardly swing a cat anymore without hitting something that causes cancer.