I think that for some players, each mission objective is "the game," and all of the story and background and world-building and behind-the-scenes stuff is just the setup. I have had players who honestly believe in their heart that a "game of D&D" doesn't start until they step into a dungeon. All of the walking around town, buying gear, talking to NPCs, and getting the adventure is just "setting up the board," so to speak...when you're ready to begin playing, the DM will put you in the dungeon.
And from that point of view, it is possible to "win" (succeed) or "lose" (fail) a "game" (mission objective) of D&D. I don't parse the game like that, but I know folks who do.