"I want to confess something [to you]" - I'm going to tell you something, which is a confession (e.g. of something bad I did). "I want to make a confession [to you]" - same as above. "I want to tell you something in private" - I want to tell you something where no one will overhear me. "I want to tell you something
"He is Catholic" (Catholic is an adjective.) "He is a Catholic" (Catholic is a noun; it means Catholic person or person of the Catholic faith.) "He follows the Catholic religion" "He believes [in] the Catholic religion" "He follows the Catholic religion" "He is a follower of Catholici