Sports, even more weight lifting, have not helped me in any way. If anything it established a wrong body image of myself. Something I never wanted to be or look like. Self-Confidence based on looks sounds fragil and very risky to me.
It's no magic cure and if you sell it as one people might get sad if it doesn't work for them.
It's done the opposite for me. I used to have lower self-esteem. Once I got into shape and visible muscles through shirts, suddenly everyone is nicer to me. Girls are talking to me more. Men are nicer. No bullying.
I quit weed and started lifting weights at the same time. When combined, these two decisions have done wonders for my mental health.
You definitely wouldn't need muscles for that. Getting to love yourself has the very same effect.
You know the joke where people teach you how to be attractive and the first thing you need is "be handsome"? It's similar to lifting weights. You only get the confidence after people find you attractive.
My only point really is that they/whoever needs to find something that boosts THEIR confidence and not blindly follow things that worked for someone else in their specific situation.
Plus there is an obvious issue of people putting their self esteem focus on something else they have little actual control about. That's not a sustainable solution on its own.