Hi Allan,
"I am very confused" indicates that your confusion is high, whereas "I am pretty confused" indicates that your confusion is mild. Other example include the following:
"I am pretty tired" (this means I'm slightly tired), in contrast to "I am very tired."
"I am pretty annoyed" (this means I'm slightly annoyed), in contrast to "I am very annoyed."
Also please note that in English, we generally don't use the word "pretty" for negative sentences. Here are some examples:
"I am not very tired." [This is fine, but you cannot say "I am not pretty tired"].
"I am not very hungry." [This is fine, but you cannot say "I am not pretty hungry"].