There are a few likely explanations for this. The first one being that the incorrect type of dye has been used.
For wax, you would need to use an oil-based dye specifically for use in candles/wax melts. If the dye is sinking then it's likely that this is a water-based dye that is used mainly in soaps and other water-based products.
The second could be that you’ve used mica powder. Whilst mica powder doesn’t actually provide a full colour to the wax, it gives off a shimmer which makes the wax look coloured. Mica powder is actually heavier than wax so when this is mixed into wax, it will swirl around giving off its beautiful shimmer but if left, will sink to the bottom of the wax. This is totally normal and won't affect your overall product 🥰