No, I don’t think it is confusing at all. Since Protestants say they believe in sola scriptura they should have no troubles whatsoever understanding it.
It is confusing because I do use the filtration system required to answer your question. Psalms 22 written long before Matthew records the Crucifixion even down to the Roman soldiers gambling, what the Roman appointed high priest would be saying, and the Words Christ Himself spoke.
“Since Protestants say they believe in sola scriptura”
I am a Protestant. I’ve never said that. I have said “In Christ alone...” however. Is it wrong that I believe that my salvation is found in Jesus Christ, alone?
Sola scriptura has nothing to do with WHAT books are in there ... it has everything to do with WHAT we do with the books that are.
Everything essential to doctrine and practice is in there, there is nothing essential that has been left out. If its not in there, its not essential.