To answer some of your thoughts, what you get from the candle depends on how it was made and what material went into making it. I assume when you were talking about your candle you knew it was made from 100% beeswax. This is the first thing you should check for if you want to repeat your experiment.
If check your candle and see that it contains paraffin, then you should read what constituents go into that paraffin. If chemicals or colors (like bleach-type agents) are put into the natural beeswax to make paraffin then when you burn the candle you can expect these chemicals to be released. Some of the released chemicals will then be absorbed by the body (ear) and this is not beneficial. However you can make your own by buying a block of pure beeswax, although it does take time. This is part of the reason these candles are costly to buy.
When the candle is placed in the ear there should not be air leaking in from the sides. The candle should form a tiny chimmney in the ear so that when the candle is lit, the available oxygen is immediately used up and a vacuum is formed so that the smoke is drawn into the ear canal. The smoke does it's gentle cleaning on its way back out from the ear canal without harming surrounding tissues.
I don't know how to explain the "orange" you got from holding it in your fingers (I assume again it wasn't an orange candle). I have placed a 100% beeswax ear candle on a counter, wax sealed around the bottom, and lit it, and did not get any colored residue, wax or otherwise. Holding it in my hand while it burned did not produce colored wax. I have not placed the candle on the tip of my finger or in the middle of my palm.
There is more detail on the physics of how it does it's work by burning, at web sites experienced in using ear candles. You should do a search using Google and you might find some confirmation for your theory that moist warmth has an unknown benefit, or is involved in bringing out matter or impurities in the ear canal tissue.
If you go through the experiment again, remember not to let air slip into the inside of the ear candle from space around candle bottom. If you do let air slip in there, then you are testing something, but you are not testing what is going on in the ear when the ear candle is placed in and lit.
definitions for those who find them usefull:
air.........the atmosphere
............a gas
............a light breeze
............a tune
............manner
............bearing of a person
............appearance
vacuum......a space devoid of all matter
............space from which air (or other gas) has been almost wholly removed, as by
...............air pump