When they say "they shine" they don't mean it is emitting light of its own. The red laser light hits the red candy, some will bounce off the surface immediately and you'll see the red laser dot. But some will enter the candy and bounce around inside until it finds a new exit, and all that bouncing is somewhat chaotic. So the candy is just taking the laser light and then throwing it out in a bunch of different directions. It makes the candy look like it is glowing.

When the green light is shined on the red candy, some will bounce off the surface and you'll see that green dot on the surface of the candy. But any light going inside the candy is now traveling through a minefield of red pigments. Those red pigments didn't bother the red light. But red pigments absorb most light from orange up through violet. So before the green laser light can bounce around a lot and find a new random exit from the candy, most of it has been absorbed by the red pigment.

If you were looking at the opposite side of the candy from where the laser light enters, you might still see some of it coming out. Some of that green light will be lucky and make it through. But the glowing effect is made strongest by light that bounces multiple times inside so that there are many different paths to all parts of the surface. All that bouncing means the light is spending way more time in that minefield of red pigment, and is more likely to be absorbed. So the red candy can't do a very good job of scattering the green light in all directions.

Having a higher or lower wavelength plays almost no role in this. You can reverse the situation and get the same sort of outcome: If you had a green candy, then the green laser will make the candy shine, and the red laser will not. The only time higher-vs-lower might matter is if you've got fluorescent molecules (which are able to absorb light of a higher energy, and then re-emit the energy at lower frequencies.)