For me it depends in large part on what’s going on in my RL. If I’ve had a frustrating day, and my warrior gets hammered in a combat scene because the dice betray me on the GM messed up the balance, I can get frustrated. If I’ve had a normal day or a good day, I’m much more open to random disappointment in my gameplay.
That being said, I’m also a big fan of screwing my character up through choices that I make myself (whether it’s choices that the character makes or the player). I also want to be able to react to the bad stuff and maintain some player agency through it. If there’s nothing that I can do about the bad stuff (either to mitigate it or to have some fun with it on the way down), it’s a lot less fun for me.
I agree with a lot of the statements above, but particularly @Pyrephox’s note about Proportionality; if my character has been doing great lately, having them be absolutely humbled can be entertaining, but if they’ve been on a bad streak, sometimes one more failure is all it takes for me to not have a good time.