He is using a candle, which is burning off the parafin wax. I think it is just coating the snow in a thin layer of the wax therefore waterproofing the outside of the snow. He also packed it tightly so it would take longer to melt. The plastic smell is probably the wax residue that burned. That is why you can take a candle and do the jumping flame trick with a match. The smoke contains vaporized wax in it. https://www.thoughtco.com/traveling-flame-science-trick-607505