Father Devlin, a Catholic priest, admits to Ellery and Inspector Queen that Sherman did not make a formal confession, and Inspector Queen mentions that Sherman was not a Catholic. Therefore, under New York State law in the 1940s (and today), nothing said between the two would be covered by confessional privilege, but neither Queen mentions this.
Inspector Queen says that he has ringside seats for a boxing match at Madison Square Garden between Rocky Graziano and Jake LaMotta. Graziano and LaMotta never fought, and Graziano didn't fight at the Garden in 1947, which is the year the series takes place.