As long as this thread is still alive, I'd like to say that the notion "people will only enjoy a game if they're on the winning side" is provably wrong in the history of videogaming, where the Pyrrhic victory has always been popular.
Remember the ending of DOOM? Congratulations, you killed the Cyberdemon, the Spider Mastermind, and all the worst beasties Hell could throw at you, so here's the door home! By the way, WALLHAX Hell's coming with you.
Remember the ending of Quake 2? Congratulations, you killed the Makron, blew up half of Strogg City, and saved the invasion force. Now you're stuck in a lifeboat on Strogg, surrounded by legions of enemies. Oh, and we're going to come back in a decade with a sequel that retcons all that into meaninglessness.
Remember the ending of Max Payne? Congratulations, you killed the frosty bitch that ultimately murdered your family and more or less destroyed a couple criminal empires. However, you'll never be able to prove your story. And there's still drugs on the streets. And you still have loads of enemies. And you're going to prison for the rest of your life for being a serial killing psycho. (I haven't seen the sequels, so I don't know what kind of asspull they used to fix all that.)
Remember the ending of every installment of Half-Life? Congratulations, you slew the horrible human-munching forces of another dimension. Only not really, because there's another one. And another one. And we're depowering all your weapons. And we're going to kill everything you know and everyone you love.
Anyone who saw that German general's speech at the end of Band of Brothers knows that, especially by the end, for the German soldiers it wasn't about fighting for Hitler or Nazism or even so much for Germany itself. It was for saving their lives and their brothers in arms. The same reason every sane soldier keeps fighting, even in a war they can't win - to not let their mates down and not disappoint their leaders.
So what would the ending look like? Congratulations, you an absolute badass and fought your way out of Berlin and the Russian advance! However, Germany was doomed from the start and is now destroyed. And you're probably a POW, until the reconstruction needs you or something. And everything you fought for was a murderous lie that will brand you a monster for the next five decades. But hey, at least you're alive and your squaddies love you.