They were made with a copper alloy and thus conduct heat efficiently. That also aligns with the reasoning used to justify the gloves theory (i.e. they were primarily found in colder climates).
Also not convinced it will be all that stable as a candle holder.
I actually like any theory related to heat because that's what the map indicates. Any other theory is related to things and actions that were common throughout the empire.
As for heat: how did people heat their homes? Rich people had their fancy underfloor heating, but what did poor and middle-class people use? In Celtic and medieval times they would typically use a hearth (i.e. fire) – it seems to me a candle just doesn't give enough heat, and you're going to need a hearth anyway for cooking. I would imagine that's also what they used during Roman times since that's what's used both before and after the Roman era.
I'd love to have a replica for that purpose, I wonder if someone makes them.
Edit: of course they do, one search away. A nice conversation starter :)