That's strange and not a problem I've really had to deal with before, so not sure what advice to offer I'm afraid. Talon's idea of walking them around and letting them see and touch the angled ceilings is a good one I think. Maybe they're still getting used to the space and the ceilings are off-putting.
I've noticed that houses in the US seem to have much higher ceilings than here in the UK. In my current house the ceilings are quite low - a bit below 7ft. However, they are all straight/flat so no weird angles for Alfie to deal with.