Jesus Lord this thread is alread getting wordy
I don't think games need to have a failure state. Or, well, a "classic" video game will have failure states, but it doesn't have to have those. A game that is made to be played, with possibly some message behind it, will have failures states otherwise it's boring to play it. However, I also think the interactivity of games can be used for more artsy stuff as well; most of the time this is done very simply in little flash games. You could probably argue that these aren't real games and I wouldn't be able to deny that, because it's simply true; these art-games like Stanley Parable are not classic games that use reward and punishment for enjoyment.
So I'm not even gonna argue about that. What I do want to talk about however is how these art-games for lack of a better word use the properties of games to give their message. This is something both classic games and art-games very very often do wrong. The story is told through cutscenes or big chunks of text that are just completely cut off from the gameplay. Games that do do it right are for example Braid and Spec Ops: the Line; large parts of their story is told during the gameplay, and because you take the actions yourself this makes the message a thousand times stronger than if they were just read to you.
This is also why Antichamber is my GOTY and will stay in my top five for a very long time as it is a pinnacle of storytelling through gameplay. Apart from the little cryptic hints they give you, nothing is ever explained or told through cutscenes or text. And although Antichamber has very little story, the little it has is told with so much power that it left a much, much larger expression on me than anything I've ever played: (this next bit has spoilers for Antichamber)