Can't say any of them are common. ... a lack of confidence....

There is a small difference in meaning. "Unconfident" means "not confident", while "under confident" means "not confident enough". And also there is a difference in usage: "I feel unconfident about applying for that job." "I feel under confident in applying for that job" Finally, "unconfident" is a word, but it isn't used very often. Normally I'd just say "not confident" or "I don't feel confident". and "underconfident" is sometimes written as one word, but most dictionaries don't consider it a word by itself. It's better to separate it into the two words.