I had never heard of this. Searched youtube for videos, using search term "burning crayon." Yes, they will burn, debatable for how long. I noticed that it was hard to get them started: it took a while with a lighter. It appears you need the paper wrapping to act as a wick.
On a scale of practicality, I'd put it very near the bottom.
I agree. A crayon is basically a candle and not a very good one. It's not even tinder. You can't start a crayon by using a spark. That even sounds weird saying it.