I think this is a brilliant way to research characters!When I feel confused, some of the things I do is1. I get really quiet, trying to work it out in my mind2. I repeat, to the person who confused me, what I heard them say so that they can clarify. 3. I get a puzzled expression and say "What?"4. If I can't understand something, I may get frustrated and quit trying to do/learn/read etc whatever it is I'm not understanding.
Whenever I'm confused, I respond quite variably. Most of the time, I just stare blankly and think while contorting my face a bit. It all depends on the source of the confusion, really. If the source of the confusion is an inanimate object and it confuses me to the point of exasperation, it's possible that I bang or shake on the thing. If the source is human conversation, it'll only make me ask him/her to iterate the subject of the confusion.