I don't know where you people are getting that there would be less pressure. For someone to lose, there has to be a time before they lose, and people always feel immense pressure in those circumstances. If you lose the first match in a set, tell me you don't feel pressure that whole second match. Of course you do, if you lose this one, it's all over. Likewise, the winner of the first match still feels the pressure. He has so much riding on winning this one match.
Let's say the person who lost the first match wins the second match. Then it's back to one match determining the whole thing, and the person who won the first match will be under more pressure since he didn't finish the last match.
Of course, that's not the margin system, but still an example of how pressure is constant. In the margin system there would be a lot of pressure, though both people MIGHT NOT be experiencing it at the same time. Of course, as I pointed out earlier, even the person winning can be under pressure.