Losing is much more fun than winning. Its just that it has to be a border-case and not so that you get pummeled to death
This is one of the key things I've found about games being fun for me: it needs to be a close fight. Not a brutal I-win steamroll, nor a brutal I-lose steamroll. Achieving and maintaining that kind of balance is very difficult for open-ended strategy-oriented (as opposed to tactical-oriented) games like MoO, MoM, etc. And it doesn't feel as fulfilling in games where it just hands you a pre-made tactical situation where it's a close fight, etc. Because one of the other keys for me is caring about the people (or at least cities/planets/etc) involved because I've been with them for a while.
So I tend to I like strategy RPGs with mild-to-severe overwhelming odds with optional handicaps (i.e. an "easy" difficulty level) for the first playthrough, and so lets me build up from just barely scraping by on survival to eventually trouncing the computer to an improbable degree
So far I've only found 1, maybe 2 such games