Wiring confusion MSD 8388 Distributor to a new harness

Either return the ECU or the distributor, because you don't need both.

To use that distributor you will need to either cut or tuck away the ECU harness section and eliminate the ballast, but use the existing ballast supply side wires to power your new distributor.
The other direction would be to keep the OEM ECU and make everything stock.

Personally I would send the ECU back and use the HEI capable distributor you have, which also eliminates the ballast.
Then the money saved on the OEM ECU can go towards a nice HEI coil.