Making Losing Fun
Every player will lose overtime. You simply can't win every game or win in every action you do. Some games actually dumb down the gameplay in such a degree that you will simply never lose. I believe this is a bad decision.
Defining Losing
In some games when you lose you get a game over screen and reload your previous save. Defining when the player lost a game is not that easy. Some games allow for recovery, even though the mission objective is failed the player can recover from it and do something else. Losing a war or battle in a strategy game does not necessary mean you have to reload or start over.
But sometimes the player things he lost way before actually seeing a game over screen. In games like League of Legends the players have the option to surrender if they believe they lost already in minute 15th. Players will actually surrender one way or another. The worse thing that can happen to your game is when the player surrenders and stops playing your game.
Does that mean the game needs to be super easy? So players never surrender? No we need to give the player ways to recover. We need to make it clear that the player has not lost yet, it's not over yet. Interestingly enough the real world shows what happens when a nation is bombed to the ground, or loses a great war that puts it into economic ruin. It can recover. In modern strategy games, this is usually not possible.
But How do I Make Losing Fun?
You don't. Losing is not fun period. All you can really make is giving the player a desire for a rematch.
Being Able to Lose Fast
Losing is not fun. If the player believes he is losing he should be able to lose as fast as possible. Stretching out the playtime that is played losing is terrible. The player should be given a choice to mitigate the effect of losing if he chooses to give up sooner. For example in a war you can give 2 territories instead of the 8 desired. Because both sides don't want to drag out the war.
Being Able to Recover
The big takeaway is: Give the player ways to recover, or he will see losing as absolute surrender at some point. He needs to have a desire for a rematch and the belief that he has a new fair chance to win.
A good example of being able to recover are the Dark Souls games. While losing against a boss fight sometimes consumes some resources they are easy to get or to simply buy. You can come back later stronger and try again with a better chance of winning. You clearly see how far you got. Often the player believes that not much is missing, he just needs to hit the last attack to win...
Strategy games need to learn more from other games that actually innovate. Most strategy games are quite stale. Tempest Rising is Command & Conquer but modern. Age of Empires IV is Age of Empires but modern. Total War: WARHAMMER III is Total War: WARHAMMER II but with bad sieges. Company of Heroes 3 is just bad. So is Dawn of War 3. And let's not talk about the "innovations" of paradox interactive games or patches.