Not so much for players. They show up because they are enjoying the game and want to keep playing. Stop making them happy and they stop showing up. It's that simple.
I don't think that players' involvement in the game can be summed up in terms of happiness, and that's the point I was making. People read books that don't make them happy, listen to (and play) music that doesn't make them happy, and they play rpgs that don't make them happy. The GoT stuff is just one prominent example.
As with any activity, there are highs and lows. A players on a volunteer baseball team might not like losing but might like winning enough that they are willing to put up with some losses in order to have the chance at winning. However, rest assured that if that team loses nearly constantly, that player is going to consider whether they still want to be on the team.
Interesting, in that these are zero-sum games. Many sports leagues do have winless teams, and every one that tracks standings has someone that finishes in last place. Do the last place teams have higher rates of attrition than average or high-performing teams? In any case, is that rate of attrition unsustainable or unacceptable? I don't know.
For my part, I was not a great competitive athlete (what a surprise for a D&D player). I won some tennis matches, but I probably lost more than I won, and that was against pretty low-level competition. When playing against more serious athletes, I was routinely dismantled. And yet, while I really hate losing, it wasn't a disincentive to play at all. I looked forward to the top division teams more than the bottom ones; I preferred a higher quality of play. I would likely lose even against their weakest players, but it was a better match, and at least I'd feel like there was something to achieve if I did win. Repeated losses may not have put a smile on my face, but they by no means excised me from the hobby. Injuries, on the other hand...
It's the same with RPGs. Players don't mind their characters dying from time to time if it creates a fun story or it makes their wins seem even more impressive by comparison. Most players like to have some continuity from one session to the next, however, and dying every session is likely to get on even the most tolerant player's nerves.
Well, yes. And the GRRM novels also mix things up in that regard. Sometimes expected deaths don't happen, and there are long periods of inactivity. It's important to keep things dynamic regardless of what the parameters of your game are.