Confection is very rarely used. It usually means a complicated dessert, but I have never heard anyone say it. Confectionery is a general term for sweets (candy) and chocolate. There are sometimes shops called Confectioneries which are basically shops that sell chocolate and sweets. They're not all that common but they do exist. I think this may be a UK-only thing. Lollies in the UK are boiled sweets on the end of a stick which you suck with the stick poking out of your mouth. They're fairly childish so most adults don't eat them but children like them. However, I know that in New Zealand, all sweets are called lollies, so it depends on the region. Candy is usually an American English term for all sweets. In the UK, it means a chalky-crumbly kind of sweet but it's not very common. In most cases it'll be the American meaning. Sweets is the British term for candy of all kinds. For example, if someone offered you a sweet, you could get anything from mints to boiled fruit sweets to chewy ones. People don't include chocolate with sweets.