It feels to me like the main difficulty in Dwarf Fortress (or maybe just what remains once you learn how to play) comes from things that are just tricky, complicated or costly to deal with, an early example being werebeast attacks. Those start happening early enough you're unlikely to have enough competent ranged dwarves to take it out before it enters melee, it's finicky to track down who was bit once it becomes a scuffle, and if someone is bit once you've gone through the process of figuring out who is in fact now a werebeast, well, they're just a lost cause. Eventually I just started turning off werebeasts in worldgen and that was the fix for the issue, but I could see stuff like that causing a lot of frustration for new players in particular.
My point is sometimes losing is fun, sometimes it isn't, it's not an all or nothing proposition, and it's not so much a function of the numbers of the threat as it is the nature of that threat, whether or not you can do anything to plan for or deal with it.
For instance breaking into the circus but misjudging how many jugglers and clowns they had and watching them systematically work through your fortress bringing !joy! to all the boys and girls, that kind of losing is usually fun. Sieges, also a pretty good time one way or another. Things that happen over and over again at random and you can't really do anything about them though, not really fun after awhile, like for instance in versions where tantrums and loyalty cascades would happen a lot, not a fun way to go. I think the difference is whether there's something novel to experience and to learn from, if there's nothing to learn then you're just going to experience it again and again so the novelty wears off.
I'd also say the economy may need some work at some point. At first it's fine, you have to make some effort to get tradegoods flowing so you can get the things you still need after embark, but once you get chugging along you can just buy out every caravan effortlessly, though by then you don't even really need most of what they bring.. Perhaps craftdwarfship, decoration, and materials shouldn't have as large an effect on the value of things as they do, and the generation of certain things (food for example) could be toned down. If the wealth growth curve of fortresses were adjusted of course the breakpoints for when invasions and so on happen would also be adjusted I'm sure, maybe keep migrations where they are since giant migrant waves are a common complaint (although perhaps with the simplified labor assignment system this will be much less of an issue). I just think it might be cool if at some point I would feel the need to expand more industries as the fortress goes, not just the smelters and candy floss makers.