Hey tessl, is this when your opponent is on the rush? They're just blowing by your defensemen or is it when they are setup in your own zone and they dangle around and then just skate right through?
Either way making your defenseman more aggressive should help so change the Defensive Pressure to Puck Side Attack or High Pressure. I'd try High Pressure if you're leaving it all up to the AI.
If they are blowing past you on the rush then try 1-3-1 neutral zone setup and make the Offensive Bias more relaxed like "Sit Back" - this should make them get into defensive positions earlier on so hopefully your opponent won't be able to get an angle on them to skate by when transitioning to offense.
Keep in mind, they are still just AI so against players who are really good at predicting the AI's behavior you will probably be better off becoming one of your defenders.