We're all taught not to burn plastic, and many types are indeed extremely environmentally destructive in the chlorine and nitrogen compounds they produce. Polyethylene and other hydrocarbon plastics are an exception to the rule, and produce primarily only H2O and CO2 upon burning with adequate oxygen. The vapor that the drops leave behind is a mixture of paraffin compounds. With this experiment the drops are cooled off as they fall and so they do not maintain their combustion temperature long enough to fully burn. Polyethylene is capable of complete combustion with very little in the way of unintended byproducts if combustion takes place in a suitable environment.
I know I'm going to get a lot of questions about the lighter I used in this video, and I'll be using it again as part of my next project. If you're interested you can find one here (this is an affiliate link): http://ebay.to/29Qpmwj