It has a big impact on how the players perform in the game which in turn has a massive impact on Morale - If you tell the press you expect your players to win an upcoming game against a more favored side they are likely to go into the next game a bit nervous. Same thing can happen if you say you expect your team to win the title, it can put unneeded pressure onto your team.
I don't think press conferences directly affect morale (unless you are answering a question directly related to a player), but they do have a secondary affect on morale in that bad pressers can make you players play badly which leads to poor morale, and vice versa.