Bluntly speaking- as long as you have fun, who cares? That is after all what gaming should be about, and if you find yourself enjoying starting over and over again all the time more fun than finishing a game, why should that be bad?
I can even relate to be honest, as I often find the early stages of Total War games as I conquer my first few cities more fun than managing huge empires in the end. I think that is also what makes many of these more sandbox-y strategy games so great- they allow players with different play styles to carve out their own niches and fun zones.