I believe the answer to the first question in this context would be radiating the heat (like from the clay pots). It helps spread out the candle’s heat more evenly and avoids pooling it at the ceiling (like convection). As for the second question, that is greatly affected by the room...
And that heat can be focused closer to people (as Erica pointed out) and, thus, more efficient. It does seem that there is something about the physics: the amount of heat put into the room has to be exactly the same, with or without the clay pots. I think it is important that ...