It's strange because I've just conceived few goals that way. Of course I recognize that crossing and heading is one of the most effective ways of scoring (I use it always I can - I must confess).
Observation: against COM I always play on Top Player.
I will explain what I do to avoid it. It's not something new (I've used this system since ... PES 6 I guess) and it doesn't work for everybody. I have friends who use other type of defence and they do pretty well.
First of all, my defensive strategy is set in 1 and I need at least one DMF in my team to cover the defence properly (I've tried my midfield with 2 CMFs and it didn't work well

).
Now, we have basically 3 situations:
1) Early-cross: when the opponent crosses after the midline.
2) Crossing from deep wing with cover: when the opponent gets the deep wing (next to my box), but I have a defender marking the crosser.
3) Crossing from deep wing without cover: the same situation above, but this time my defender didn't have time to get closer in order to block the crossing.
What I do:
Situation 1: offside trap. It works like a charm. You need to check the map all the time. It may sound difficult, but it isn't at all.
Situation 2: I run with my defender side by side with the opponent while I press :square: to make pressure. This will bring another defender to help me. Warning: I do not try to tackle the opponent. I just close the spaces while my other defender comes. When my other defender gets close, I switch the control (with :L1

and now my defender who is in combat with the opponent is COM-controlled and I have the control of the second. I keep the pressure with :square: and if the opponent gets through my first defender, he will not scape from me doing the covering. It works almost 100% of the time against COM and it's
very effective against human.
Situation 3: that's more difficult because you probably won't be able to avoid the cross. In this situation, I take the control of my closer defender and run until the border of the box (I don't press :square: here). Then I switch to another defender, I start to press :square: at the same time that I place my controlled defender in front of the possible header. So, in this situation, my first defender now is COM-controlled and trying to block the cross and my second (under my control) is trying to clear the ball
always a bit before the attacker. This way, I can prevent very effectively the goal. It's not as easy as the situations 1 and 2, but it is playable for sure. You need to be fast and predict where the cross will go.
So, that's my system.

I am not a great player, but it works very well for me.