I agree with caution about the candles. In addition to the danger, those kinds of scents can really bother cats, so I would recommend against using candles or any other kind of air "freshener" either.
I can't answer whether burning a candle will interfere with the feliway diffuser, but I will add that I LOVE feliway diffusers.
I use them in times when there may be stress for my cats, such as medical procedures for a cat that requires anesthesia, company, if I am going to be away for long hours, newbie introductions....anything that might cause them stress, I plug it in a few days before the stressor happens and leave it going during and for a few days after.
I'm glad you are having success with it too.