I read that some players complained that the player doesn't go back after a set-piece, and they thought that it's a match engine problem.Don't think you can go too wrong with any though, just annoying that some features were removed over the years like being able to choose players which should always go up for corners etc.
I think it's true, since on PS3 (with PES 2008) they re-added this feature, and not on PES 2008 PS2 version.
But on the official guide of PES6, they confirm that when u set the level of attack/ defence on the top level, CB will join go up.