Keep in mind, we don't just tell stories of epic deeds and heroism to entertain. We tell them to remind ourselves that we are capable of epic deeds and great heroism. We also tell stories to escape from a world where all too often the bad guys do win.
Villains winning really depends on how it fits into that framework. Are they a villain or an antihero? Does the audience emphasize with the 'bad guy,' the way they do in a heist story like The Great Train Robbery or The Italian Job? Is it a last stand like The Alamo or The Wild Bunch, where the heroes go down in a blaze of glory? Or The Usual Suspects, where the villain absolutely wins, but the audience gets some emotional satisfaction out of the con?
In short, does the audience get something out of the villain winning? Or is it just depressing?