All these sentences are correct except "this lesson is so annoyed/bored/confused".
These sentences are incorrect because you are associating a very "human" or at least "sentient" attribute towards something which is not alive.
When you say "this lesson is so annoyed", it implies that the lesson in question is a living thing, capable of having an emotional reaction. It does NOT mean that some other individual finds the lesson boring.
"I find that lesson boring." would associate the "feeling" with an individual, regarding an inanimate entity. Likewise, the pronoun is not necessary here. One can also say "The lesson is boring", it would also imply that someone else finds the lesson boring.
Similary, one can say "I am bored", implying that an individual is feeling bored due to some undisclosed reason, but "The lesson is bored", would be incorrect, since the lesson is not an entity and cannot have an emotional reaction by itself. One can have an emotional reaction about it, but it cannot have an emotional reaction about anything else.