Anecdotally, expectations and identity (through narcissism) do a lot of the lifting. When we see ourselves as "smart" while still being emotionally immature, then falling short of certain signals and accomplishments we project on that is thought to be tantamount to being a failure.

What should be impressed upon us far earlier is that our actions dictate our identity. If they are in harmony with your real desires, as opposed to surrogate desires, you'll be happier.

As I said in another comment, I think the expectations and probably parts of the narcissism are definitely on the "nurture" side. Smarter people are noticed in school and told how bright their future is. They're not as often told how hard they need to work for that bright future. This sets up expectations of success without developing all the tools needed besides raw intelligence.