it's also "I am confused" in Canada.

While all three answers are correct and will get your point across, In the U.S., "I am confused" would be most common.

"I don't understand" "I am not sure what to do" are more common than any of those three. They are plain, factual, and mean exactly what the words say.

It's not a question of whether they are 'most' used or not, or whether they are used in the US or Canada or anywhere else. These expressions don't all mean exactly the same thing, and there are some situations where we would use one and not the other.

You should know them all, as well as the subtle differences between them. :)