We leave the players up the pitch so we can transitions quickly and immediately get our forward players running at/behind the opposition defence it's the risk/reward of Oles system.
The vardy goal was a combination of mistakes from shaw/fred/pogba and a big slice of luck I dont think the CB's do alot wrong. Shaw and Fred both get drawn to close down the Justin leaving Perez free to make the run into the channel, Pogba spots this and rather than use his own energy to sprint and track the run he stands on the edge of the box shouting at Fred and Shaw and pointing, shaw does try and turn and sprint back to close down the full back but it was to late, Perez had the space and time to get the ball across.
Vardy's movement of taking a step back was a gamble it bought him half a yard of space and he got lucky in that Perez's head down smash back and across actually found him, it hadn't bought him enough space to control the ball or have a clear sight at goal he just swings a leg at it in hope and gets lucky with his scuff deflecting of tuanzebe and past De Gea. The mistake was allowing the ball across in the first place, despite that its still took a big slice of luck.
The CBs can't anticipate vardy's little step back nor can they anticipate Perez just smashing it back and across there is no time for them to react to both these things and vardy's gamble paid off and got him the half a yard of space , he then got lucky again with his finish being a deflected scuff. The CBs were left exposed but vardy didnt have a great deal of time and space he just gambled and got lucky.
You are correct that we leave players high up the pitch to transition quickly. At 2-1 up away at a top 7 or 8 side, in the 85th minute, there was simply no need. All great teams have tactical flexibility and make necessary adjustments when needed. Our game management is poor. We are predictable and it means that are weaknesses are known and exposed frequently. Even top class CBs would concede goals if the team is frequently being cut open. Our CBs are far from top class. Lindelof and Bailly in particular, although they have some strengths, defending the six yard box is not to their strength. They aren't great at defending crosses, yet our style of play means every game we let one side of our defence be overloaded a few times and we have to defend dangerous crosses into the box, and we either concede at the back post or a striker pops up unchallenged in the centre.
You are correct that a combination of Fred and Shaw are also to blame, but that happens. With our formation and style of play, we will always concede crosses in games. It'd be impossible to stop crosses altogether with our formation/tactics. Pogba, hmm, I'd say his biggest fault was not being on Justin, so that Fred and Shaw, or at least not both, wouldn't have had to close him down, although you said yourself we leave our front four higher up, and he was playing LW, so impossible to know if that is strategic or his laziness. After that, it looks bad that he spotted the danger and didn't chase down Perez but honestly he's getting nowhere near him to do anything about it in time. I don't recall Rashford or Greenwood tracking back into our own box to tackle an opposition winger.
However, you simply can not absolve Bailly of blame. It's not about anticipating Vardy's movement, as I said he doesn't even look at Vardy the whole time, and Vardy actually starts behind Bailly. Bailly needs to be level with Vardy there and goalside, so he can react to the cross or Vardy's movement, that's defending 101. It may have ended up that if Bailly had did his job properly he might have blocked Vardy's shot, or he might have got an own goal himself instead of Tuanzebe. But, if he had got an own goal, at least he would have been making the correct decisions. The biggest concern and problem for me was that because Bailly was doing nothing, Tuanzebe ended up coming central unneccesarily. The problem is that if the cross had been overhit or to the back post it's quite likely Barnes would have scored anyway, and that's a goal we have conceded numerous times recently - cross to the back post, and our full back is positioned far too centrally to assist the CB, while the CB stands pointlessly in a set position without even looking where the opposition forward is.
A more general point, and not aimed at you specifically, but I think recently fans have been far too lenient towards Bailly and Lindelof, and I suspect this is due to the current attitude towards Maguire. The worse the perception of Maguire gets, the better Bailly and Lindelof seem to become. The fact is that both are CBs with glaring weaknesses, and these are constantly demonstrated by our tactical set up.