Is sugar free candy healthy to eat?

Probably not. Sugar free candy is a way to get some of the joy and satisfaction that you might get from sugared candy, without the sugar and calories. It is a substtute for this and not a source of nutrition. So it is not "healthy' to eat but can satisfy the craving without the calories.
In moderation. Sugar Free does not mean free of calories, and sugar free candy generally is made with sugar alcohols. Sugar Alcohols are poorly and incompletely absorbed by the intestines, so eating a lot will give you bad gas and diarrhea. Taken in moderation, sugar free candy is better for your teeth than regular candy, and is a useful tool for diabetics and people on low carbohydrate diets.
Yes and no. If you eat a lot of candy, it might be better for you to avoid all the sugar. However, the artificial sweeteners in sugar-free candy aren't the healthiest ingredients either, being linked to fatigue and achiness. Your best bet would be to eat limited amounts, whichever you choose.