I've watched movies or read books where the protagonist is screwed from the git-go. When you finish watching/reading, you realize that the hero never stood a chance, and was fated to lose from the beginning. This is especially prevalent in horror stories.
And I HATE it. Absolutely DESPISE it. I consider it the prose equivalent of someone getting their jollies by burning ants with a magnifying glass.
To me, what makes a story worth reading (and, bringing this round to gaming, adventures worth running), is when the protagonist has a fighting chance. That's drama. That's tension. That's excitement. The so-called edginess of the "never had a chance tale" is a cheap cliche, and smacks of railroading and DM-to-Player bullying.
Now, that being said...first of all I agree with the earlier post about the no-win situation being a setback along the way, and not the ultimate payoff. That I can deal with. Secondly, there's also the APPARENT no-win situation, which falls into Admiral Kirk territory. I see nothing wrong in a DM, through an NPC, informing the players that they "can't win", and go on a protracted BS explanation as to why not. If they swallow it, hey, it's their own fault.
In my campaigns, there's ALWAYS an escape hatch. Always. Sometimes it's better hidden than others, but it's always there. Find it, and you've earned the right to use it, and the bragging rights to follow

Sure, the concept of "always an escape hatch" may not jibe with reality, but neither do the concepts of routinely raising dead people, power rings, FTL starships, turning people into ferrets, and groin-mounted plasma cannons.
As for moral dilemmas, well, used sparingly, they're ok. If your sessions are becoming "moral dilemma of the week," then that could get really tedious.