Thankfully, food grade-paraffin wax is non-toxic and has been used for many years in everything from coating cheeses to those wonderful little wax bottles filled with sweet liquid. It is non-digestible, however, so eating too much could conceivably block up the internal plumbing.
Thankfully, there have been no reported incidents of ill health as a result of eating wax lips or they would have been pulled from store shelves long ago.
Instead, they remain a popular novelty item to this day with millions of sets churned out every Halloween. The wax division of the American Candy Company was eventually sold to Concord Confections, and is now owned by the Tootsie Roll Company, which markets the wax lips under the name Wack-O-Wax. They still bring smiles to kids faces all over the world, which, come to thing of it, is a lot more than you can say about most petroleum byproducts.