Mentors should endeavor to learn what their mentees are sensitive to. If they know a specific bit of feedback will be hard for them to hear, they can couch it in terms that are easier to process before starting the conversation.
For example, if a mentor is aware that her mentee is painfully nervous about interviews, he or she can alter their language to describe the process more like a conversation and less like an interrogation. Her advice might address this fear directly without acknowledging its validity.