do unity candles *have* to be white?

Of course not! You can have whatever sort of decor you prefer.

I wouldnt think twice about them being red. I think this would only matter if you were getting married in a church

Nope! I'm not even doing a unity candle, so I can't imagine anything around this is a "must."

Nothing HAS to be anything. Looks lovely!

People use colored unity sand, so I see nothing wrong with colored candles.

The candles used for this unity ceremony can be any color you'd like. Most of the verbiage and symbolism referenced in the ceremonies I perform revolves around the flame itself. Ask your officiant for a sample script of their unity ceremony just to be sure everything fits together. Best wishes!