Is it somehow better to go to an actual church or pay someone to confide in?
Objectively yes.
A real person isn't a stochastic parrot yes-anding whatever stupid idea falls out of your head and is less likely to provide obsequious responses to questions asked.
A real person is less likely to compile what you say to them and mine data from it or turn it over to authorities without a warrant.
A real person also has the ability to actually understand what you're saying and provide an intelligent response rather than getting back a statistical block of words that are mathematically good words to use based on the underlying model.