The context behind Romeo using oxymorons in this scene is the fight that his cousin Benvolio has just been a part of. Romeo isn't necessarily talking about Rosaline at this point because he is lecturing Benvolio for choosing to be a fighter rather than a lover. Romeo is angry that the rivalry between the Capulets and the Montagues continues. He does not like it and he wishes that Benvolio would stop it, as follows:
"O me! What fray was here?
Yet tell me not, for I have heard it all.
Here's much to do with hate, but more with love.
Why, then, O brawling love! O loving hate!
O anything of nothing first create" (I.i.168-172).
The above passage establishes the reason behind the use of the oxymorons in the lines to follow. Romeo is amazed that there is such a fine line between love and hate that it is so easy for people to break into fatal blows whenever they are challenged. Romeo also seems to be telling Benvolio that we can choose whether or not to brawl or to love because these feelings are so closely related. Romeo also recognizes that these feelings are tough to decipher, whereupon he continues as follows:
"O heavy lightness! Serious vanity!
Mis-shapen chaos of well-seeming forms! (I.i.173-174).
It's as if he recognizes that when life is "heavy" we tend to take things too lightly. We get caught up in vanity and pride which twists reality in our minds which can bring chaos from what we believe are good intentions (or well-seeming forms). Hence, Romeo isn't confused about love, or Rosaline, in this passage, he is condemning the choices that people make to fight, but also recognizes that life is confusing and comes at us like an oxymoron.