Yes, obviously PSG are the favourites to win, but clearly Real Madrid need to realise this defeat and be able to rise again and become a much stronger team and return to winning ways. As for Chelsea, if they don't play a high-level match, I see it as difficult to beat a team that has won everything and is aiming to win this trophy too, and they will.
Xabi Alonso has a lot of work to do, and it won't happen overnight. He needs to adapt to find a playing format that works for the team. The defeat against PSG isn't the only reason to punish Xabi Alonso. It takes time to perfect the team, especially since they were missing several key players in defense during that match. PSG are indeed heavily favored to win the Club World Cup, but Chelsea shouldn't be concerned about that. The most important thing is preparing for the final, so they can accept whatever the result.