You're right in asserting that those of us who are baptized and believing members of Christ's body, the church, rejoice in the freedom from sin's domination in our lives. We aren't in the same kind of bondage to sin that we would be if we didn't know Christ, but we are still a work in progress and sin's grip is real and ever present. When we confess we are in bondage to sin, it's a constant reminder that we must flee again and again to that fountain of grace with our forever-leaking cups. We aren't yet what God has declared us to be in Christ. In fact, the more we know Christ the more we recognize our bondage to sin.
Sin is no small chink in our otherwise shiny suit of armor.
Nothing less than the transforming power of God, who brings life from death, can deal with sin's hold on us. One of Martin Luther's greatest insights was that we who are baptized are both sinners and saints. We get into trouble anytime we wimp out on either part of the equation. Our congregation recently left out the opening confession of sins in our worship in the interest of time and knowing that it doesn't have to always be included. You should have heard the uproar.