You’re assuming they confessed to him honestly. If they killed their daughter and are hiding it, I would doubt that they confessed honestly. A priest can only absolve an honestly confessed sin; God (working through the priest) cannot absolve something that someone has either intentionally not confessed or lied about.
If they had confessed honestly and had had something to do with the child’s disappearance, the priest would have told them as a condition of their penance that they would have to go to the authorities and confess and reveal what they knew. If they were serious Catholics, they would have done it. But the whole question is why they went to this priest in the first place. Was he part of their “proclamation of innocence”? If he was, I don’t blame him for feeling used and destroyed. Maybe they are innocent, maybe not. But they have used and abused many folks in Portugal in one way or another during this whole affair.
If they confessed to killing her, then surely their penance would include some form of taking responsibility for her death. Without completing their penance, their confession would be incomplete, and they would not receive absolution. I don’t see why they would confess something like this if they did not intend to tell the police as well.