Nah, this makes sense. To me I had a phase like this. In my story the villain does "win."
It's not about being the bad guy, it's about the real fear that the bad guys have won. Not having faith in the good you do. Feeling like your good doesn't belong to you. Stuff like that.
I'm sorry, but folks who say "i want a story where the villain wins" come off as corny. I'm not saying the concept can't be well executed, but often, the request comes from those who project heavily onto the villain and just don't want to see them receive consequences.