I think it's a personality thing. Advice is for employee personalities. Some people thrive in a 9-to-5 environment, following the rules, course-correcting, and enjoying their freedom.
Entrepreneurs are more akin to the Steve Jobs personality type. They pursue an idea they believe in, even when everyone tells them they're crazy and wasting their time.
Advice works for the first type, not the latter. Entrepreneurs often simply need to ignore it.
How can you help them? Through storytelling. Facilitate peer groups and let them share their stories of success and failure, allowing others to learn from their individual experiences. Invite successful CEOs to share their journeys from startup to IPO.