The game's mechanics also foster this: Any 'smart' combat character will pump Dexterity, and throw everything into getting Dexterity and Athletics as high as possible. This gives the character incredible defence (the character quickly becomes untouchable by any monster in the book which is at their Legend level, and possibly even one or two points higher), and the character's ability to attack becomes rather grotesque (allowing the PC to guarantee hitting anything in the book which is on the character's level). Against a combat-built character, combat is not a challenge. The PC can easily blow through hordes of opponents without breaking a sweat, because nothing is going to hit them, and they'll blow through anything that they attack.
To me, that's not heroic. Heroic means having the players know that defeat is possible, and not in the vague 'well, maybe' sort of way. Being heroic comes from knowing that defeat is there, and pushing forward to try valiantly anyway. Heroic defeats, where the characters fall, and heroic victories, where the characters triumph against a foe which put fear in their hearts. Scion honestly doesn't give me that feeling usually -- as a player or a game master.
(To be honest, I often have the same problem in Exalted -- the PCs can usually blow through anything I set up. The one exception was putting them up against an Infernal Exalt -- that put the fear into them, and one player praised the scene for two days afterwards -- because he honestly thought his character might lose. He didn't know what the Infernal could do, didn't know what Charms the Infernal was using, and the Infernal really pushed hard -- the Solar won by being very clever.)
I've noticed, usually, the only way I can create tension in Scion is by having the enemy attack the non-combatants in the group (usually, this is my wife's character). This means a strike which could potentially kill the character on the first action, leaving everyone else scrambling to protect her and deal with the threat. This also means balancing the enemy so that my wife's character is not one-shotted, while still giving the combat-oriented PCs a run for their money. And honestly? It's getting tiresome.
A recent example was having a rogue Scion almost kill her mortal parents, then visiting her in the hospital and tormenting her (and stealing one of her relics). Later, it was a giant bull rushing her and smearing her against the floor. She's the target, because nobody else is going to be really hard pressed unless I make something a few Legend higher, and bump up their attributes / epics a few ranks to make them 'on par'.
And honestly, it doesn't feel very heroic to have the non-com keep getting hit, either. Anyone else have thoughts or observations? Suggestions?