It is confusing. But you’re right, we are to pray to our Father. Yet, His Son intercedes for us, so even when we pray to our Father, our prayers go through His Son.
Now, I’m confused!
We pray to the Father in Jesus name because it’s Jesus righteousness that we are covered with. We have no righteousness of our own. Look at it like Jesus giving us power of attorney. When we stand before the Father He sees Jesus just as a banker would have to treat us as if we were the person who we had power of attorney from.