If you get a letter stamped confidential, that means you're not supposed to tell anyone else what it says. It's private and you're not supposed to blab about it.
Confidential suggests that you're being let in on a secret — as in Kitchen Confidential, the title of a book by Anthony Bourdain, a famous chef, in which he tells unappetizing stories about the restaurant industry. If you confide in someone, you are trusting him or her with confidential or secret information. Choose your confidants wisely!