Decide if you are comfortable with your current skill level or not. If you want to get better, train up. If you are happy with your skill level, then keep losing. That's fine, and I think its healthy to decide to place limits on your skill.
Skill is an infinite treadmill: you can continuously get better at pretty much any subject from now till the end of time. Deciding when to get off the treadmill is just as important as deciding to stay on.
> Games of skill are less appealing if you know a certain person will always win.
I disagree. I will always lose to Magnus Carlsen in Chess. I will always lose to my friends in (insert any FPS game here, I'm bad at all of them). I will always lose to Mew2King in Super Smash Bros: Melee.
My inability to defeat the greatest players of a subject does NOT make the game less appealing. Indeed, I often times seek out the challenge of stronger players, especially when I'm explicitly trying to get better at the game.
Losing constantly by playing vs players who are better than you provides a learning experience. You should find other players you can win against of course: you'll never learn to win if you keep losing. But losing teaches you what bad-habits you've formed from playing vs weaker players.
I think that's the key: losing all the time is unfun. But I can definitely take "losing for a whole week" or "losing for a whole month" in a row, especially if its for training. Finding players of lower skill, equal skill, and higher skill, is important.