I'd like to say that Walt pretty much confessed over the phone when all Skyler did was tell the police that he took Holly, but it looks like everything was unravelling anyway.
He wasn't confessing. Like the others above opined, Walt was getting Skyler off the hook. He knew the police were listening, and he never physically threatened her to get her to go along. Walt also gives Marie an out, though he couldn't have known for sure if she was there. It will be easier for Marie to believe that Walt threatened Skyler because she'll want
to believe it, especially with Walt gone and her needing someone. It's an easier reality for her.
Damn, Walt twisting the knife in like that by confessing about Jane was just about the scummiest thing he's ever done. I'm not surprised Todd kept Jesse around; Todd can't make the pure meth. Jesse can. Yes, Walt must
rescue Jesse. There's no way he can redeem himself, but he'll come to realize that he owes him. That would be fitting, though, for Walt to rescue Jesse and then have Jesse blow Walt's brains out anyway because of Jane.
I thought they were going to kill Jesse there for a moment.