White candles do not burn any faster than colored candles. Many experiments have concluded that the added dyes in colored candles do not affect their burning time in any way.
One experiment tested the burning times of yellow, blue, white, pink and green candles. All the burning times were within one minute of each other, with the yellow candle burning the fastest, the green candle lasting the longest and the white candle coming in the middle. As this is a common science fair project, these results have been replicated many times and suggest that if any dye color affects burning time, it is yellow, as this color consistently burns out first.