What I see as the difference is that talking about things that you couldn't or wouldn't talk to anyone else about could be anything from silly jokes, gossip or more serious and/or personal things. For me confidante implies the more serious and personal rather than the lighter chat. That is just my opinion but that is why I asked what he had actually said. If the transcript is right he didn't claim to be her confidante, that is what the press have said.
I agree. Confidante would be for secrets or private info. What Harry said could be anything, from jokes to more serious things, not necessarily things that others couldn’t know, just maybe they wouldn’t be interested or understand. It’s different.