The real question to ask is: are the treats interfering with mealtime, appetite or causing arguments? I don't worry about the occasional lollipop, because the portion is small. I do worry about larger baked items. A two-year-old requires half the amount of food his 9-year-old sibling needs. Depending on the size of the cookie, it could crowd out the more nutritious food he requires. I don't recommend sneaking treats to the older kids and hiding them from the little one; it might work sometimes, but eventually you'll get caught!
In general, I suggest that you serve cookies and dessert-type foods with meals as an ordinary final course. When cookies are served as a snack, the portions should be small. Try to offer really nutritious choices like yogurt or fruit slices. When they get used to healthy sweets, the kids will love munching on them.
You and your husband have to decide how treats are handled in your house, and I think everyone -- including your two-year-old and his older siblings -- needs to abide by similar food rules.
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I have the same issue about letting my 2 year old eat candy with her two older sisters, the other day i took them for their shots and as a reward, i got my 5 and 7 year old some candy and let my 2 year old pick out a toy, however she ( of course) wanted candy too, so I gave in and a day later she had a toothache! My advice would be to try a toy or another food for the 2 year old, so that she is included, but it dosent hurt her teeth.
Good Luck!