A “hallmark sign” of having gender dysphoria is persistent identification with or insistence on being the opposite sex for at least a period of six months. And “not everyone who is questioning their gender ends up being trans” is not a statement anyone would argue with.
And no, confusion does imply being wrong. I rarely if ever saw it used as a short-hand for “not having an answer”. It usually means either “fail to understand” (e.g. “I’m confused, is the birthday on the 5th or on the 15th?”) or “made a mistake” (e.g. “Oh, sorry, I confused you for a friend of mine”). The term you’re looking for is “questioning their gender” or “exploring their gender identity”.
Adding to what all the others said, majority of those who cross the border on foot are asylum seekers, and even if they don’t have documents, they are still in the country legally until the court makes a decision on their asylum claim.