I was just involved with some confidential issues on a project on gitlab.com, and the “create confidential merge request” button did appear. Pushing it gave me the option to create a branch or create one and merge it. But regardless of which one I selected, I got an error saying that it failed and that I should try again. And of course trying again didn’t help. We ended up manually (non-confidentially) merging the branch with the fix, since once we merged confidentiality wasn’t needed any more.
I wasn’t sure if I was just in the wrong role or something to do the merge, but it doen’t seem like that was the case. Better documentation (and testing) of the confidential merge request feature is badly needed.