...However, if you're serious about getting better at something, your goal isn't to win. Your goal is to get better. Ideally, you abstract your thinking away from the "win/lose" from a specific game, and think more in terms of the big picture. What mistakes did I make, how do I fix those, have I tried this strategy before, etc.
Personally, my goal is to have fun. I try to get better, but it isn't my goal. Therefore it is important to be able to have fun while losing. One of the many reasons I love Dominion is that it's generally easy for me to have fun with this game even when I'm losing (but definitely easier IRL than online).
Luckily, these goals aren't mutually exclusive
When I play, I'll sometimes build crazy off-the-wall engines that usually fail. I can pretend it's because doing this helps in building engines that are actually good, but it's really because winning with, say, an engine that uses Apprentice-Workshop as the main draw engine is really funny.