All Imperial priests are confined to a parish. This may be a geographical area or particular temple, or it may be a Rogue Trader vessel, an Imperial Guard regiment, pilgrim route or Inquisitor's staff.
Confessors are priests who have been released from their confinement to become free agents. They may be able to whip up their own crusades, form their own fleets or simply wander from world to world as itinerant preachers.
Generally speaking, it would seem logical to assume that a Cardinal would appoint a Confessor with a specific purpose in mind: a Confessor may be charged with taking a particular interpretation of the Imperial faith to worlds that are perceived to be straying, or which cleave to an archaic or borderline-heretical version. They may be appointed to found new dioceses in areas reconquered by the Imperium. Or they may just be a way of getting rid of a troublesome and too-influential priest.
Think of Confessors as the spiritual equivalent to a Rogue Trader.
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