I only noticed this in the scourge of the past boss checkpoint, however I imagine it would apply in other places too.
It also occurred when using "Always on time" Sparrow, and the seasonal helmet (this doesn't occur without the helmet), but I got it to occur on other exotic sparrows too.
Essentially, after "triggering" a kells scrouge, if it destroys your sparrow, it will drop 3 candy.
It appears that you have to be supressed and knocked off the sparrow, and then jump back on as it's destroyed to get this to occur.
i.e.
1. Annoy the guy
2. Get supressed and knocked off the sparrow
3. get back on the sparrow
4. Get shot
5. Get candy.