Losing never helps. Sorry.
And you are right. And if you have unlimited time, money, energy, and voter appeal, winning it all is the best course.
But if you do not, you have to prioritize those states where a victory will likely give you greater momentum to win down the road. You give less priority to those states where winning in the voters eyes is little more than a pyrrhic victory, and a loss won’t hurt you that much (and hope your opponent put all their marbles into winning it).