Generally speaking, video games differ from reality in a number of ways, but of those, one of the most prominent has to be the "failed state." More often than not, losing equates to death. Granted, there are usually mechanics to partially negate this harsh penalty in the form of a save system, checkpoints, continues, respawns, etc. Outside of Rogue-likes, perma-death is pretty rare. Almost as rare in a single player experience is the notion of a game proceeding after failure. Let me pose the following question, What if the player's on-screen avatar survives, but is unable to complete whatever goal the game designers expect them to accomplish?
Based on the above axiom it comes as no surprise that simulation games, particularly combat flight-sims, were one of the earliest examples that I'm aware of that accounted for the possibility that you could lose some battles, but still win the war...or at least survive to the conclusion of hostilities. There also seems to be a tendency for games that don't do "game over" screens to operate in a small area with a narrowly bracketed time frame. I know that's awfully vague and, depending on how you define it, a lot of games that sound like a good match (such as Way of the Samurai or Majora's Mask) don't really fit.