Last night, I played LOTR: Battle for Midde Earth 2 (RotWK expansion) with a cousin for the first time in months. Neither of us had played in all that time, and we knew we'd be rusty. We started a war... and, sure enough, we lost the first battle. But we were back in the swing of things by the third battle.
A benefit of the form, a non-linear series of challenges, that a player can fail and not feel discouraged. Had my cousin and I been forced to replay the exact same scenario until we beat it, returning to the game after such a long hiatus would not have been as fun.
In general, it's good for players to have options and variety even when they fail. Reward success by means other than level/story progression.