Rocket candy doesn’t emit volatile fumes, no. My bet would be that they didn’t use a flame spreader/diffuser over the burner (and likely used a poorly conductive pan like plain cheap stainless steel). That can cause localized hot spots in a pot full of r-candy, which can cause it to ignite.
Igniting a pot full of r-candy will produce a big, impressive ker-WHOOM of a fireball, which will likely be reported as “an explosion.” It isn’t, really, but people who’ve just had their eyebrows singed off may not care about the finer distinctions. 
