For the simplest confirmation scenario, there is an option on Action Buttons in Mendix to set a confirmation prompt. You can access this by right clicking and selecting "microflow options". If this fits your need (i.e., you need to confirm every time the user clicks this button), then you're all set.
If not (i.e., the confirmation is conditional), I built a widget that does this: https://github.com/tieniber/ConfirmButton/blob/master/test/widgets/ConfirmButton.mpk?raw=true
So, add the widget to your page, and configure it like this:
I don't think you'll be able to accomplish this with the out of the box confirmation messages.
You'll need to build a small popup page that will prompt the user the proceed or cancel. On this page, you can place a dataview with the entity you are using. This popup page is what you should open from your microflow. In this way, when the Proceed button on your popup window is clicked, you can pass the entity into your microflow again.