The emotion, verb tense, and wardrobe of the interviewees suggest that the "confession room" interviews are held simultaneously to the events in the competition. This would seem disruptive to the competition itself as well as the production. When are these scenes shot?
I think they are shot in a separate room after the episodes are over to describe their emotions at a particular point of time. However, there is some ambiguity over this as if a person knows they are eliminated, why would they say they are scared to go?