How to remove the confirmation step in the PIN unlock screen?
Stock android does not have the ability to disable this feature, as such it requires you to confirm the PIN every time you enter it. Depending on your phone, the version of Android on your phone may support this functionality. 

I believe this functionality is also part of CyanogenMod (It was when I ran it a few years ago). 

Also, PIN's aren't always 4 digits long, stock Android requires PIN's of at least 4 digits. Automatically confirming the PIN after x digits would kinda defeat the purpose of a longer PIN because you could find out the correct length in one attempt.