It took me a while to get used to, but this video game is different from others. You will not always win. What you want to happen, won't. What you really don't want to happen, will. In most other video games, the story is pure adolescent power fantasy: you are the unbeatable, unstoppable hero. Bad things don't generally happen to you, and when they do, you can always, always do something about it.
This is not that game. This is more like... life. Sometimes, even when you make all the right choices, terrible things happen to you and everyone you care about dies and you lose. The end. Once you embrace this concept, only then does losing become fun. And sometimes, when all seems lost, and you are sure you are about to lose, the impossible happens. The one remaining dwarf is not killed, he does not go insane, the traders come and manage to kill the enemies, and finally, more migrants appear. The fort goes on!
When you savescum so that every situation turns out perfectly, this never happens. You have just turned this incredibly complex, adult video game back into a children's comic book hero video game. You are perfect, your fort is perfect, everyone is happy, and you think you are having fun. But until you let the bad things happen, and see that one impossible time when all seems lost, but it isn't, well, you do not know the meaning of fun.
That's okay though, I was doing the exact same sort of thing for a year before I figured out what "losing is fun" really meant. You see, "winning" is the same for everyone. It's the same damn story, over and over again, and it isn't specific to you. It is an utterly generic story. You already know this story. You know those poor migrants are supposed to make it to the fort. You've read this story before, seen it on TV, at the movies. It is every heroic fantasy imagined since the dawn of time. But losing is specific. You lose, in this game, for unique reasons, unique combinations of things. The loss is your story, and no one elses. And that is what makes it fun.