They have the same meaning, but 'a few' has the additional meaning of 'not too many.' 'Several' is always positive, but 'a few' can be positive or negative, depending on the context.
Can we only take one sweet each?
No, you can take a few sweets, if you like. = No, you can take several sweets, if you like.
Can we take we take lots of sweets?
You can take a few sweets. Maybe three or four. If you take more than that, there won't be enough for everyone.