I have a theory that the reason behind late goals is mainly this obsession with managers to instruct their teams to 'close out' games. This normally amounts to them ceasing to do the one thing that has given that team the advantage in the first place, ie. attacking, outplaying the opposition and scoring goals. The team then, under orders, tries to play in a more cautious and defensive manner and succeeds only in giving up possession to the opposing team, thereby increasing the likelihood of conceding a goal.
I say, keep playing the way that has put the team in the lead, no problem!