In order to differentiate, I think we need to go to the definition of "baffle":
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2 : something for
deflecting, checking, or otherwise regulating flow
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thus "obstruction," which can lead to frustration (think lack of air, etc)
I'd guess that "baffled" reflects much more
frustration than "confused" (which indicates more of a mental mix up)
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Baffle
2 : to defeat or check (as understanding, plans, efforts, actions) by
confusing or puzzling
: DISCONCERT, PERPLEX, FRUSTRATE <with postwar verse, the ... untutored reader is apt to admit himself quite
baffled -- C.D.Lewis> <the swiftness of his marches
baffled alike flight and resistance -- J.A.Froude>
Merriam-Webster Unabridged Dictionary
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thus confusion can lead to bafflement:-)
But I have to say they are pretty close in some circumstances.