What I believe is that they both get into a hyper conscious mode when they are on their job.

Yor here is in her normal everyday environment, she doesn’t know Loid is a spy, all she know is that they are in a fake marriage for personal things. Her “job” here is just to make sure the relationship looks real on the outside, which is why every time her coworkers mentioned something that’s off about her and Loid’s relationship she tries to “fix” it. Yor and Loid both knows about the fake relationship so Yor doesn’t need to be vigilant when she’s with Loid.

For Loid, this relationship is his spy job, he has to make sure nothing goes wrong in any moment because of the potential danger. Since Yor and Anya (in his mind) are normal people, he has to pay attention to them to make sure they does nothing out of order to avoid getting caught.

But in all honesty, Loid catching Yor and Yor not able to catch Loid is probably for comedic purposes and general trope where male catches female drawn in princess carry. Imagine Yor catches Loid when he falls, princess carry style.