Pana the blame will always be on Messi as he is regarded the best player in the world, same with Ronaldo when Portugal fail.
Baggio took Italy to WC finals too doesn't mean anything when you don't rise to the occasion in the final, that's where the big players get their recognition.
I don't see how the whole team was at fault for losing each final though, in last 2 Copa America finals, Argentina's defence didn't concede a goal so to say the whole team is at fault is wrong, defence did their job the front line didn't. Its the old saying defence wins you titles, attackers win you matches.