That wasn't confusion (I'm watching the ending right now), it was simply anguish.
He regressed to a point in his delusion where they are keeping in "hostage" along with his Marshal buddy "Chuck". He is trying to "get off this rock" again, because "There is something seriously wrong with the place".
There is no reason why wouldn't go with his "escorts", as in his delusion, they provide the framework for his "investigation" (until he figures things out in the end).
Quite simply, I believe your interpretation to be wrong, and I believe most viewers of the movie agree with me. Hell, just read the rest of the thread.