Most of them don't always succeed when it matters - they come out on top at the end after repeated failures. Generally because that final, one-in-a-million shot pays off.
Yep. If give them godlike stats then they won't actually behave like or feel like they do in the fiction. Conan won't surrender to Belit's pirates because he knows he can kill all of them - he won't run away from the Black Ones on their Isle because he can just kill them. Stat him at 8th level Fighter with unusually high Attributes
then play him as a smart guy who wants to stay alive, and he'll feel much more Conany than if you make him 25th level.