Bit late but you don't have to play more defensive at all if you don't want to. There are many different ways you could have improved in that set while keeping your core playstyle. Falcon has problems if you don't give him any space for example, so you could play hyper aggressive with the correct spacing and options, there is a major difference between dumb aggression and smart aggression. Remember Falcons whole thing is about hitting you and momentum, prevent that momentum however way you see fit and you're in. My personal preference which is a lot of people's preference is to play aggressive when I have set the tone of the match and play hyper defensive when the opponent has set the pace. But I'm not saying anyone else is wrong here I just like to shed light on the other options you could do.
As for the set, his movement was definitely a bit better than yours so you already were at a disadvantage in neutral, and when your opponent moves better than you, your punish game and spacing need to be on point. You were a bit sloppy on things like approaches, punishes, the likes, don't know if that was nerves or what. You SD'd a few times which is fine but when that happens you should take a few moments in between sets; it helps collect yourself, gives you more time to figure out how you lost, and it helps stop any momentum your opponent might have.
Practice-
Stage Movement, until it becomes second nature and this includes stuff like how do I get from point A to point B the fastest and most effective.
Attack Placement, every hit matters, you won't always be able to go for the gimp, make sure you have a plan with each attack such as going for the % or gaining stage control.
Optimal Punishes, you ended a lot of combos way earlier than they should, remember an uair should lead to at least 30% on falcon or at least a tech read situation in your favor.
So I'm not one to go over specific events in matches so this is what I got. Hope it helps.
