Should the Reader be Confused?

So, here’s my dilemma. Every so often, I get a beta reader who hands me back my manuscript and says, “I was really confused about X, Y, and Z.”

At first, I was distressed about it. Then I went through a short period of denial and thought they must be stupid because everyone else got it and they didn’t.

And then, I realized something: Hello! This book is written in the FIRST PERSON NARRATIVE. The reader is only getting the information that the main character is getting.

So, if the main character is confused by the information she’s getting, shouldn’t it follow that the reader also be confused? And doesn’t it make sense that only some of my readers are freaking out about it because many readers submerse themselves enough in the character to realize they are supposed to be confused and the answers will eventually reveal themselves?

I’d like some feedback. When is it okay to confuse your reader?