If the candles are from the same box and the only difference is color, they will probably burn at the same rate. However, if the candles have different chemical composition or different size (for example because they are made by different companies) they may burn at different rates, regardless of their color.
That is not true... Actually, I tested these candles, and yes from the same box. The darker candles really burn the fastest because there is more wax used to make that color. It may not be like that on all candles, but it was on all the ones I tried.
No. The color that is seen on the candle is actually the color mixed with the wax during the manufacturing. It has nothing to do with burning. no matter what ever color you use the candle flame will show the same color. The color used is for attractive purpose only.