for one thing, if the bad guys win, they would have an extra powerful pokemon, making the rest of the series boring, like when teams magma and aqua tried to capture groudon and kyogre. Then they'd be able to beat the good guys altogether too easy. Also, game freak does that to make it exciting; "is it gonna lose?!" stuff like that. Finally, if team rocket did get away with pikachu, the series would pretty much be over. After all, what is ash without pikachu?