I just looked at some figures...
basically took all of Sarri's teams since his last year at Empoli, found # of set pieces conceded, took an annual average, and the calculated set pieces conceded as a percentage of total. I also did this for A) Juventus' teams, B) all teams that played against Sarri in his seasons C) the top teams in each year (4 in Serie A, 5 in EPL)
Conclusions:
1) Juventus' percentage is so high because of the low amount of total goals conceded. Hard to gauge how bad it is because they concede so many goals. Probably would be more meaningful to see # of set piece situations faced, but I don't have that stat. Although last year Juventus improved significantly, only letting in 6 (20% of all goals)
2) Roma has been stellar at set-pieces (averaged 5.66 over the last 3 years or 14%)
3) Sarri was unspectacular at set pieces, but not horrible. We was pretty decent with Napoli with an awesome 4 set pieces allowed in 2015-16...the other years were 7 and 10. But he was a disaster with Chelsea with 15 allowed. Basically tied for 2nd last in the league.