In terms of where to begin, you need to go back to the beginning, and that means back to your manager. He focused the review on personality, while the purpose of a review is to focus on performance.
People are not going to undergo personality changes as a result of annual feedback from their managers. After all, becoming more confident is not something people can just go out and do, no matter how often they are told to do so.
If your manager is concerned with aspects of your performance that seemingly deal with confidence or initiative, he should provide you with specific samples of the behaviors in question. For example, let's assume that his comments about confidence stemmed from your reluctance to take independent or decisive action in a particular situation. For you to be able to do anything with his feedback, he should describe that situation and let you know his expectations, especially the specific actions he expects you to take. He should even provide you with examples and model the desired behaviors.
Although no irony is intended, one specific behavior that actually demonstrates initiative and confidence would be for you to suggest to your manager that the two of you meet again to go over the specifics of your review and an action plan to deal with it.
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