Even perfectly rational agents can lose. They just can't know in advance that they'll lose. They can't expect to underperform any other performable strategy, or they would simply perform it.

I think your formulation in this post is the clearest, and I agree with it. In previous posts, you may have said things which confused your point, such as this:

Said I: "If you fail to achieve a correct answer, it is futile to protest that you acted with propriety."

The strong interpretation of this quote is that if you lose, you weren't being rational. This may explain why so many people felt the urge to point out that rational people can lose. The weak interpretation is that if you lose, rather than protesting that you were rational, you should more closely scrutinize your thinking and whether it is really rational. Now it seems that the weak interpretation is what you intend.