I play Moose in the House with my kids to have fun, but Moose in the House absolutely has a win condition (have the fewest moose in your house at the end of the game!). So I don't see any reason to correlate playing to have fun with no win conditions.The purpose of a roleplaying game (or at least the ones we eternally talk about) is to have fun. So overall, people play to have fun, and that's why many people will say role-playing games have no win condition, and essentially I'd agree with them.
Even a cooperative game like Forbidden Island has a win condition and loss conditions.
I agree with this.D&D is very strong in equating a fun time with successful resolution techniques; it lacks rewards for failure, meta-currency, success-at-a-cost, and most other modern systems that make it an enjoyable experience for your character to fail at resolution.
Also, the more that successful resolution involves playing the fiction - which is a real thing in (say) Classic Traveller and Burning Wheel, whereas is hardly a thing at all in (say) Cortex+ Heroic and is a very different thing in (say) 4e D&D - then the less the mechanical aspects of PC build are determinate. Or at least they come into play in quite a different fashion.