You must understand the gravity of this serious situation.
Gravity means extreme or alarming importance of something. One of its synonyms is 'seriousness'.
The others words don't fit in the sentence because empathy refers to the ability to understand and share the feelings of another; fidelity, as one of its meaning, is the accuracy of details; and confidant refers to a person or character to whom secrets, or intimate aspects, are entrusted.
