Winning a game is, typically, getting to the ending. There can be different endings, depending on how you did during the game, or there can be one. Doesn't really matter, as long as the game is fun.
I am reminded of a Flash game called Culmination, part of a saga, that is essentially the details of one specific scene omitted from a previous game when one character chases after the Big Bad. Since you already know that the Big Bad has to survive the chase (to be killed by the protagonist of the other game), the final fight of Culmination can only end with the Big Bad winning. So you can deal the final strike to your opponent, only to trigger a cutscene of him killing you (the exact same you'd get if you lost). Here's the thing: a five second cutscene doesn't negate all the preceding fun I had, and games should, above all, be fun. If a happy ending helps, great. If a sad one helps, also great.