Video game heroes are distinctly different from their movie, TV or book counterparts. In those mediums, there's a divide between the audience and the character, but that line is blurred as soon as you put a controller in someone's hand and let them decide how high a protagonist should jump and what they should do during key moments in the narrative.
In gaming, these characters become an extension of the player, regardless of if they're pre-defined constructed like Joel from The Last of Us or unique, ground-up creations from an RPG like Fallout 4. However, while this relationship makes for some amazing power fantasies, it more often than not limits the story to a 'hero saves the day' ending, as anything else wouldn't just mean the character fails, but the person controlling them fails as well.
Of course, not every game falls into this bracket, and sometimes a story ends with the protagonist and the player falling short of their goal, even if they don't always realise it.