Has anyone else ever read a choose your own story book when you were young? This discussion reminds me of them. One thing I do remember though is in those books, you couldn't get to the "best" ending all the time by choosing the best options every time. (In otherwords, sometimes you had to get into some bad scrapes in order to come out ahead) Likewise I think that a good branching campaign would have the "best' ending at the end of the complete conquering ending. Maybe in your overpowering conquest, you missed the build-up of a counterattack that even though was repulsed, ended up crippling you before the rest of the galaxy. Maybe in a panic, the enemy ultimately used a doomsday weapon you were unable to stop that they were hesitant to use all along due to sociological implications. Use your imagination. After all, you can take something away in defeat, just as you can in a win. Plus, I've always thought that a underdog coming out on top after a hard, and arduous struggle was a lot more interesting than a one sided all the way battle in terms of story.
However, for play reasons, you have to find a way to make it feel like less of a "loss" when you lose, but instead give the impression that it was just a battle in the overall war. Maybe let them know how the war is going. Make them feel like there is still a good chance of victory.
Another idea that I've seen done, but I don't remember where off hand is only allow saving for leaving the game. When you come back, lose the saved game. In this manner, people can't back out and restart every time they lose. Then what you can do, is once a player finishes the scenario, you let them go back to any point in the scenario and play a "what if" where they try to alter the course of the war at that point and play it through from there. That way, if someone can't beat a mission near the end, they don't have to play all the way through again just to try it again. Then if they did change the story arc, they can move on in the new one like they did in the old, once again unable to reload if they aren't doing well.