I think playing style is more telling here than mental strength. The Big 3 are all good on the mental side; Thiem is still learning that.
It's easier for defense-minded players like Nadal, Djokovic and Murray to be clutch in close situations because they can rely on low-risk plays and shots with more margin, whereas the offense players must take more risk. They control their destiny and often win or lose the match, but in the toughest moments they are more likely to lose, I think. If DelPo/Cilic/Tsonga/Berdych/et al are hot the match probably isn't going to be that close (see first set tonight). But when those players get up-and-down, those with strong defense can hang in and hope for errors as the matches get tight and use lockdown mode to elicit errors. That gets them the reputation of mental strength when it's really just relying on what you do best. It's the same reason why it's harder to upset a great clay-courter than it is a great grass-courter.
I would put Thiem in a similar group to Federer (and probably Dimitrov) in that they play all-court tennis and can win with defense and offense, so sometimes they struggle on which route to go, whereas the defense players know how to play in tight moments. Back in the glory days, Federer's defense was as good as the best defenders so he was very clutch, but after 2008 it moved into the second tier, so sometimes I think he plays too defensive in tight moments instead of really going for his shots like he needs to. But then other times when he should be more steady he goes for shots that aren't there.
Options can cause problems sometimes, and it's easy to coach from the couch. But it's also despairing when you become invested. Despite that, I'll be coaching DelPo on Friday and the coaching will be: Squash that cockroach quickly without mercy. Do not let him hang around, because we know what happens ...