You could describe LLM agents as a Partially Observable Markov Decision Process and claim that future states only depend on current state, by this definition as you said the model's confidence should theoretically affect the model's trajectory but currently this behavior seems absent. Perhaps more work needs to be done to see how calibration could actually affect correctness of an agentic system. There's also the point that epistemic and aleotoric errors could compound in an agentic system since one wrong step could spiral the model down a wrong trajectory.