I make paraffin, soy, and palm wax candles, and I have a bit to say here. The EPA is still doing studies, but there's just no conclusive evidence at this time that soy is any healthier than paraffin. It's one of my pet peeves when soy chandlers bash paraffin waxes. This is taken from IGI's website (they are one of the largest wax suppliers in the US)
"As vegetable wax proponents seek to establish market share, there is a misconception that it must be done at the expense of paraffin waxes. Various manufacturers who utilize vegetable wax materials, have launched aggressive marketing campaigns designed to “disqualify” and “discredit” petroleum wax. Unfortunately, their negative publicity campaign has resulted in numerous misconceptions and generally unsupported scientific claims being promoted. It is important to clarify that both paraffin and vegetable-based waxes have been found to be biodegradable, safe, and effective when used in well-designed product systems. "
Soy candles can produce soot just as bad as paraffin. If you don't have the proper wick, fragrance percentage, and burning conditions, any wax will produce soot. It's just harder to see with soy, as soy soot is usually white, but soot is soot. A properly created and properly burned candle will not produce soot, regardless what type of wax.
Any time you burn anything, you are releasing something in to the air. Even if it was determined that soy does not emit anything, the fragrance & wicks are still being burned with the wax. I personally would be more worried about the fragrances around birds.