they are similar, but confused has a narrower definition. There is a synonym for confused that a lot of people find to be a little humorous-- discombobulated. Its kind of fun to say it. In a confusion there are different data floating around in your head or your environment and you dont know quite how some of it or all of it fits together. This is usually a temporary condition that can usually be cleared up with study and/or appropriate communication.
Messed Up usually means something more permanent, and probably more serious. It implies some sort of abberation that is more than just a temporary confusion.