In decision theory, the "goodness" or "badness" of a decision is divorced from its actual outcome.

How does this interact with the idea that rationalists should win?

Rationalists should follow winning strategies. If you followed a bad strategy and got lucky, that doesn't mean you should keep following it. The relevant question is what strategy you should follow going forward.

Asking whether a particular past choice was "right" or "wrong", if the answer has no impact on your future choices seems like a wrong question.