I don't know about candles but I know the smell doesn't come through with tarts. Yes, the colorants do smell nasty but they're so concentrated that you don't need much to color wax. I don't remember how much I used but it wasn't many drops (maybe 8 or 10) to get a deep chocolate brown in approximately a pound of wax.
I recently bought yellow candle dye from Aroma Haven/Rustic Escentials and it also has an odor. I think the odor is from whatever ingredient is used to make the colorant able to dye wax. I'm guessing but I bet most if not all wax colorants are going to have an odor.
Hopefully someone more knowledgeable will see your question and give a definite answer. If you don't see another response in a day or two, you could bump this topic to take it back to the top of the 'Today's Posts' index.