Sometimes, losing is the point of the myth or the staion in the heroquest. Sometimes, its not possible to continue without losing. If you win, you may not be able to succeed at your overall goal.
Orlanth could not have completed the Lightbringer's Quest if he had not failed in the King of Night's Hall, nor would they have been on the Quest if Chalana Arroy (or is it Erissa?

) had managed to heal the Dead God.
Similarly, Yelmalio would not have gained his "too tough to die while there is light" powers if he'd won at Hill of Gold.