Most treats that you buy from petstores aren't good for your cavies. Many contain high amounts of sugars that can lead to diabetes. Many contain harmful preservatives such as ethoxyquin, BHT and others. Many contain animal fats, corn oils, corn syrups, and dairy products- all of which are not good for cavies.
Cavies are lactose intolerant and should receive no dairy products of any kind. They are also strict herbivores so any animal products are to be explicitly avoided.
There are also treat sticks that contain seeds and nuts which cavies should not have due to choking hazards and the obesity factor.
The best treats you can give your piggies are fresh veggies and the occasional piece of fruit.