In Sonic Adventure 2, when you rank poorly in a stage as Shadow the Hedgehog, he says "I guess I'm not at full power here" and there is no further elaboration. Maybe try something like that?

When you design your characters, try to consider how they'd respond to failure. Everyone makes mistakes, even experts. If you can't imagine them failing, maybe you need to rework something.

If your character starts at level 1, be extra mindful of this. A level 1 adventurer is not an accomplished expert, but they might try to pass themselves off as such.