Why does water cause a jet flame when poured over a bunch of tealights?
The wax doesn't need to become gaseous to cause the column of flame (if that's what you were thinking). Water, when in contact with the liquid wax at a couple of hundred degrees above its boiling point, will flash-boil in a very chaotic manner as if it were "exploding" ("transition boiling" in this graph). The water closest to the wax very quickly vaporises and tries to escape, but is temporarily blocked by the layer of liquid water above it, so the system ends up being vigorously churned to make way for the vapour.

The problem is that the turmoil will make tiny liquid wax droplets airborne, as if wax were being shot out of an atomizer, creating a wax aerosol. Suddenly, the same amount of wax has its surface area increased tremendously and is exposed to much more oxygen. Even though the wax in the aerosol quickly loses heat and may become solid again in a fraction of a second, if even a small region of the wax aerosol reaches ignition temperature, the flame quickly propagates as a huge amount of heat is dumped at once in the vicinity and triggers the ignition of all the airborne wax.

This trick is effectively the same as what happens if you try to put out a grease fire with water.