Yes, acknowledging privilege is hard work.

It's difficult to admit that through no fault of our own necessarily, our race/gender/sexual orientation/sexual identity/religion/caste/ level of education gives us a certain access that we would necessarily not have had if we were members of that particular privileged category.

However, without knowing how your particular social group membership privileges you, it becomes impossible for you to see how others are equivalently oppressed by their group memberships.

For instance, I am queer but gender conforming, which means that on a daily basis I don't get harassed for being queer. However, my wife does.

To understand oppression, one needs to understand the opposite of oppression (privilege).

No one is seeking to make you 'confess' your privilege, but being aware of your privilege makes you more likely to understand how the lack of it effects other people.

It's really your choice whether or not you want to be defensive about this privilege, or understand how your privilege works in a society. However, I really doubt that you know better than the oppressed group how they should go about talking about their oppression.