If you are interested in improv and you do not already follow Will Hines blog about improv, Improv Nonsense, you are missing some great info. The most recent two posts are an interview with Chris Gethard, and it’s full of good advice for people who teach or coach improv.
Failure is a skill everyone has to learn. Get good at it. Encourage your students to get good at it by making your classroom a place where they know failure is ok. That being said, make sure they understand that integrity comes with failing for the right reasons. Don’t fail because you’re being lazy or unfocused. Don’t fail because you’re bailing on your scene to go for the cheap joke. Fail because you are pushing yourself to take chances you haven’t taken before.