What causes some students to be selectively impervious to supervision of their thesis writing?
I recognize the problem from supervision (also at graduate level), and remember it from when I was a student myself - saw several fellow students who acted like this. I have no golden solution, but here is what I often find efficient.

Some people are poor at receiving criticism. There can be many reasons for that. One that is quite common is that the person receiving the criticism misunderstands criticism of their work as criticism of their person.

At some point we all needed to learn how to write a paper. Some people have a hard time understanding that they can't write a thesis, simply because they have not learned to yet, and that this is completely ok. This does not necessarily correlate with academic performance. You can have good students, who have simply not learned to write an understandable scientific text. And since they are used to acing everything, the fact that they get a lot of criticism, puts them in a place they are not used to. I must say, though, that I find this problem much more prevalent with students who are otherwise also not stellar. It is not surprising that there is a correlation between students who can't write a text, and students who are otherwise poor performers.

My (ours, I should say) attempt at a solution is to be very open with the students about this. Tell them that it is uncommon to have students who are good at writing from day one, and their first returned drafts will be red with ink. This does not mean that they are bad, it means that they are learning. Sometimes TA's needs to be reminded about this as well, in order to not take away the students' motivation.