Partly, that is because these sorts of games have poor engagement design for if you have a setback. In Mount and Blade, if you lose your high level army and your companions are scattered to the wind and you lose some expensive gear, what's the point in continuing from there? The setback has no engagement, it's just an annoyance. We'll want to put a lot of thought on how to make setbacks interesting in HoO. For PotC, I'm not sure that level of overhaul would work out.
As an example of an interesting setback, let's say it's possible for an ally to come to attack the ship which captured you, and you can use the distraction to escape from your cell, and set the powder room to blow as you leap off the boat Michael Bay style? Bouncing back from that setback almost fully (assuming you can resume control of your boat) would be very interesting.
Another possibility is you gain fame when you have a setback (as who doesn't think it's interesting to talk about the famous captain being defeated, but miraculously escaping/surviving?) and friends will sometimes help you back to your feet with missions, renting you ships, etc.. What's more, avenging yourself on the enemies who wronged you could be worth extra fame and restore your military reputation.
If you give the player interesting options and, "rewards," when they fail,it'll make failing interesting. Like the designer of Zoombeanies said. He'd liked to reward the players with an interesting animation when they failed at a puzzle, to lessen the sting of defeat. Rewarding the players for success isn't as important, as success is its own reward to an extent. Many games however take the opposite approach, trying to make the player feel even worse for their failures to the extent where they'd prefer to undo it altogether (I remember restarting games just to avoid a minor failure).
EDIT: Oh, I forgot to mention. Some games are based entirely around starting over and set back, namely rogue-likes such as Rogue Legacy and etc.. Most notably in these sorts of games, you upgrade functions which help you to get back to your feet. Stuff that makes your next character have that head start. If in Mount and Blade capturing castles and lands made it easy to rebuild your army and summon back your companions, then people wouldn't be so concerned about losing a battle at that point in the game.
That's essentially what I was suggesting with friends and allies. Ways the player can basically prepare themselves for a failure. This gives a sense of progression as their ability to spring back increases, and increases the importance in things like owning a business and land, or having friends and allies.
But in boardings.. well when I die in boardings, I usually dont have a savegame right before the fight, but somewhere on the worldmap, having to search for a good loot again.. so if there would be a survival in boarding, maybe linked with a nice little sidequest, I'd definitly use that^^
