Confession works because it means confronting, accepting and forgiving your inherent tendency to sin—your inner devil, yetzer-hara etc.
Therapy does not work because it (mostly) is about shifting responsibility about it into your upbringing or something else
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Confession makes you whole.
Therapy, being mostly a tool for upholding suppressive unspoken social rules of perception, keeps you fragmented—unless it breaks through the socially sanctioned mode of perception and helps you return to it whole (*very* rare)
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