Soy wax does expire. It has a shelf life of about 2-3 years if stored properly in an air-tight container. Candle wax made from soy wax has a shelf life of about 2 years. After that, the fragrance oil begins to break down the wax, and the soy wax heavily frosts.
I have some older candles (more than 3 years) that burn just fine. A paraffin blend or paraffin candle has a longer shelf life of 3-4 years stored properly.