While I am thankful to not have this problem currently, and am in fact quite spoiled with the players and play group that I have, there is a running idea in the heads of a lot of players that they are supposed to win every time. I'd actually almost forgotten about this phenomenon until I was perusing the Life and Times of a Philipine Gamer and saw a post about the very same thing there.
Honestly, I don't get the phenomenon. I get the desire to win, I really do. Especially when you care about the character. I don't however get the assumption that you are supposed to win. After all, if you win every time what value does a win have? Though I suppose it could be attributed to the roots of RPGs back in the old table top strategy games. There, every combat was a strategical challenge that had a correct answer to it, and as such there was a way to win every combat if you applied your mechanics correctly. The problem with this though is that RPGs are no longer those Strategy games. Sure some of them are, D&D from 3.0 onward has been pretty heavily married to the grid based combat and that way of doing things, but by and large RPGs have become games more about stories than strategic and/or tactical exercises.
In a story fights can be lost. In fact, in most stories the hero loses numerous times before getting the big win in the end. Yes they have small victories as well, but the fact of the matter is that there are down turns and bad things going on. A story where the hero always wins is boring, and it leads to stagnate characters and stories, not to mention a boring game. What made those old strategy games fun was the pitting of tactics and strategy against tactics and strategy, you had two players who were both trying to win and so the possibility of defeat was always there. In an RPG though, with everything going on it can feel like it is only a one player strategy game. The thrill of possible defeat goes away, victory becomes meaningless, and games get put away.
I honestly believe that the GMs role is not to be adversarial but antagonistic. That means instigating growth, challenging characters to step up. It means playing the bad guys as a credible threat, while still rooting for the players as you tell the story. After all, the players are the heroes, the heroes are who you root for. But you get the drama when, no matter how much you want them to win, the hero loses. You get to see then what the hero is made of as they pick themselves up, dust themselves off, and get back in there again and again until they win. Like the Japanese saying goes (in romanji) "nana korobi ya oki", or, fall down seven times, stand up 8.
So I guess what I am saying is, "Are you supposed to win?" yeah, maybe. In the end for sure. However, that doesn't mean you are going to. That doesn't mean you don't have to earn it. And it definitely doesn't mean that if you go in there without thought you're not going to get your ass handed to you. Hate it as much as you want, but deep down you know that you'll be much happier with the win when you know that you earned it and that at any point failure was just a step away.
I'll talk more about this later with an update on 'Unwinnable Situations'. For now though, Happy Gaming!