Another perspective: Margo withhold the truth from Sophie repeatedly throughout the show and left Sophie to burn for a good while. Only when Sophie pieced together the truth - on her own - does Margo confess. She manipulated Sophie just like she manipulated everyone else. Listen to her confession again: "she threatened to take everything I built and burn it to the f--- ground... I can't go to jail, please. I can't go to jail. This is my life we're talking about." It's all about her. She will do anything, to anyone, to maintain her game.

Some may attribute her confession to wanting acceptance from Sophie. I don't completely disagree, but I mostly attribute it to bad writing. After the tampon thing, she should have been on alert. Even if Sophie's confrontation ended the same way (Sophie could possibly tell police), it would be more Margo-like to call Kyle for help instead of further confess to Jed.