It's 100% a psychological thing. It doesn't matter how much they practice and who it is that coaches them. It's a vicious circle but the only way for the team to improve defending set pieces is by not conceding. A clean sheet after they've cleared a good few corners and free kicks out of the area will do them the world of good. And they'll build on that to do the same in the next game. Then they'll gradually become calmer, more confident, and better able to concentrate on winning it.
They're totally shitting themselves when they try and defend corners and this affects their concentration.