You can't be Charlie Brown all the time. Ironically Peanuts is probably one of the original takes on this whole debate; Charlie Brown actually faces a lot of despair over losing. The animated special where he travels to the spelling bee is one of the most painful things I have watched because its so realistic; in the end there really was no answer given to him.
This isn't true for everybody. There are genres of games dedicated towards extremely challenging mastery where a single win will require hundreds or thousands of losses. Plenty of roguelikes and roguelites like Spelunky and Caves of Qud fall in this category.
And yes, you stop even those games; eventually you hit a plateau where you see enough and dont advance in skill enough to shelve the game for something much better.
This seems totally backwards. Winning is fun, but you don't choose a game because you like winning it, you choose it because you like playing it. All games can be won, but they all play differently.