I suspect your assesment of this problem is correct. BFD is supported for the non multi-hop EBGP sessions only. When you
peer to a router in another AS within the confederation the session is marked as a "special" EBGP sessions and is treated as an iBGP peers.
I was not able to find TAC cases in which this was a requirement or was seen. It's likely because we don't see confederations used often.
If this is an important feature for you or your customer I suggest that you open a TAC case or discuss with your account team if support for this feature can be added.