Well, let me ask the following in the spirit of exploration:
If you're having fun playing Solitaire (or Minelayer or Chess or Magic or multiplayer Starcraft), why would the game force you to stop unless you wanted to?
Well, there's the position that it DOESN'T stop me from playing unless I want to. I can always try again, and I loose nothing other than time if I don't succeed.
However, there is a huge difference when dealing with narratives and characters vs. simpler games, because I never get attatched to one particular Solitaire card or Minelayer pattern or Chess piece. I never pick the Bishop and go "I really want the bishop to win!"
When I'm playing a role, and having fun playing that role, it's not usually very constructive to make me stop playing that role just because of random chance.
My attitude is that the distinct difference between a real win and loss in any game serves to develop more skillful play, and a greater sense of accomplishment on a win. Or more briefly (again from grognard-town): that's just how games work. You can win or lose. The way that RPGs have careened away from other games in that regard I don't get.
Well, #1, I'd say that "skillful play" is entirely dependant upon the player. Not every player WANTS to obsess over rules minutae or develop skill. I mean, I have no particular desire to become a chess master, but I can still have fun playing chess with people of similar skill levels.
And #2, I'd say that loss does not have to include character death. Designers seem to agree with me by making resurrection rather readily available (still a hassle, especially to a low-level party, but one of many options). Character failure can add to the fun by making it a tougher struggle and a more hard-won victory, but you don't have to stop playing a character you like to play in order to fail at something.