So if someone says have sex wife my wife or I will kill you I am required to decline? What if she is really hot? You have anything like going to confession afterwards?
Well as a non-jew I doubt this would apply to you, I'm not an expert in halacha no non-jews. But if it were a Jew yes they are required to die than have sex with a married woman.
We don't have any concept of confession to a rabbi as a way of atonement. Obviously a person can always to teshuva, and confessing to yourself you did wrong is a good step towards it, but the confession itself doesn't constitute as teshuva, and it would have no use to tell it to anyone else.