This is actually a good question. Both spellings are correct. I'm not exactly sure but I think with an 'e' means in general; with an 'a' means an individual piece. Also, 'confectionary' is an adjective as well as a noun.

Confectionery = strictly a noun Confectionary = noun or adjective

The difference is that confectionery is correct and confectionary is wrong. The word confectionary does not exist in English.

Claire and Eliot, Would you mind giving us a reference?

Johar is correct.