I'm very (or much??) confused!!

Americans would say "I am very concerned". There are other possibilities ("deeply" has been fashionable for the last twenty years, more in the UK than in the US), but you wouldn't hear "I am much concerned" in the US. You might hear the negative, "I am not much concerned," although "I am not very concerned" is probably more common.

I will let the UK contingent speak for themselves.

Canadians too would say "I am very concerned". Much doesn't sound right at all as a modifier of adjectives or past participles.

UK contingent here.

What number 1 said.

"I am much concerned" is wrong, it resembles Spanglish/Chinglish etc...
"I am very much concerned" sounds okay, but a bit formal
"I am very concerned" sounds the best of the three, (we could replace "very" with "deeply", "really" or lots of other adverbs)

"I am not much concerned" is possible, but formal
"I am not very much concerned" sounds even more formal
"I am not very concerned" sounds the best of the three in most situations.

Personally, I feel that "very", "much" and "many" are sometimes overused by learners of English.

A lot of the time (in the UK at least) we prefer "really" to "very".
"much" and "many" are normally reserved for negatives and interrogatives ("There aren't many people", "Are there many people?")
* You can start a sentence with "much" or "many" ("Many people smoke Marlboro"), but otherwise you don't normally use them in affirmative statements ("I drank much beer" would be better said as "I drank loads of beer")

Just my 2c

You can say much in front of a past participle as in the example:
The much hated former Prime Minister Margaret Thatcher, is dead.
In this case you couldn't interchange much with very or really.

#4 that's news to me! When's the party?

I was just fantasising, as far as i know the old cow is still very much alive.

'Much' relates to quantity, 'very' relates to intensity.

So 'very' will be correct when you are talking about the intensity of the emotions of the subject of the sentence. "He was very frustrated', means he is feeling an intense degree of frustration. You might find people throwing in the extra words like 'He was very much frustrated', but that's just for emphasis, it's like saying 'He was very, very frustrated'.

The correct use of 'much' seem to me to be when you are talking about the object of the sentence receiving emotion from a quantity of others, "He was much loved", would mean 'Many people loved him'.