The heat of combustion of paraffin wax is around 42 kJ/g so it is a pretty energy dense fuel source. Much more dense than typical fuels used in pop/cat can stove (Methanol = 19.9, Ethanol = 28.9, iso-propanol = 30.5 kJ/g). Of course actual heat released will depend on the efficiency of the system, but on paper it looks like a reasonable choice.

The guy uses pots to prevent the heat from being radiated away. The objective is to get the outside of the pot temperature to be as cool as possible without restricting airflow into the candles. You don't want all of your heat going up the chimney either. I am thinking some locally sourced rocks to absorb the heat and two (or maybe 3) layers of aluminum foil as a radiation shield.

Keep us abreast of you tinkering!