Based on the time frame, one would certainly expect a lot of candles to be around, as it was the only real source of artificial light available.
However, frequently, films dealing with this time period will still use modern methods to light the scene, only using as much open flame as is necessary to make the set look appropriate.
The Favourite takes place in the early 1700s during the reign of Queen Anne (Olivia Coleman) and deals with a bit of palace intrigue involving Anne, her lifelong friend Sarah Churchill, the Dutchess of Marlborough, played by Rachael Weisz and Sarah’s cousin, Abigail, played by Emma Stone.