Because no one can win all the time.
So leaders paint a picture of what failure looks like. They set the tone for what failure sounds like. They give expression to what failure feels like.
They give others permission to fail. They make failure the common rather than rare. They learn from failure as the teacher of wisdom and humility. They welcome failure as a form of success.
If the leader fails well, then anyone can fail. If the leader refuses failure as a valid option, then no one can fail.
And the entire project is dead in the water because no one really tries anything at all.