Because the being wrong is only a theoretical notion about the future, whereas the confusion is a strong unpleasant emotion right now.
Why is confusion such an intensely unpleasant emotion to me? Because I take it personally. Confusion brings my already low unconscious default opinion of myself into the present right now. Where it is painfully unbearable because I view this confusion as yet another example of my excessively numerous failings. So I push the painful confusion away by forcefully choosing any of the alternatives and resolutely staying with it. No matter what.
The alternative I always choose in any situation is application of personal emotional force. I shall overcome. I thus flip my intense feeling of being inferior because of the confusion, into an intense feeling of being superior to this negative feeling. I will persevere.
None of this has anything to do with logic, it is all emotional. Whichever of the alternatives I chose to get out of the confusion will be the one I stay with, since otherwise the confusion will return.
If I did not have a low unconscious opinion of myself, I would not take confusion personally. If I did not take any of my thinking personally, it would never bother me emotionally. It is just thinking, a mechanical process, it is not real, it is not the real me.
Examining the matter carefully, thoroughly; I finally reach the awareness that confusion of thinking has nothing to do with my true being, nothing to do with the essential me. Now not having an intensely painful emotional feeling from confusion in thinking, I can stay with the confusion of thinking long enough to work logically through it and eliminate it. And thereby reach a long term intelligent solution rather than a short term emotional one.