You Are Too Late

SPOILER WARNING
4 vs. Satan:
*NONE
Alex in Princess Quest:
*After the princess's kidnapping, the heroes couldn't save the king and the mayor.
The Stone of Power:
*NONE
The Three Kingdoms
*NONE
Dragondawn
*The fifth case. The heroes couldn't save the town on the northern island, the headquarters and even Jack got killed when the heroes weren't in their cave.
Harter Knall
*The heroes couldn't prevent their mayor's execution.
Hero Story
*Multiple times the villains manage to destroy towns with the heroes being unable to do anything about it.
Kill the Demons
*NONE
Satan Saga
*The orphanage. When the heroes entered it, Meynard and his demons already massacred it.
Story of Hero:
*NONE
The Legend of Devils
*NONE
The Sidestory Duology:
*NONE
The Time Of Bloody Fear:
*The heroes failed to prevent their king's death at Rosh and his demons' hands.