We of Highlands descent have a pretty simple way of handling this; we start by admitting that our ancestors were recalcitrant horse and cattle thieves, then move on from there. Doesn't work for everyone, but it helps overallIt’s actually worse than that.
Like Umbran said, this has become a matter of identity. For them, accepting their fantasy has been debunked could be as disruptive to their sense of self as finding out their ancestors didn’t come over on the Mayflower, the family fortune was built on illegal arms sales, or granny was a madame in Las Vegas.
It’s not just, “Ooops, I was wrong.”, it’s “My world is coming undone.” It’s the psychological equivalent of a roundhouse blow from the reigning heavy champion of the world.