There is an interesting parallel or echo between the Mythos and the postmodern-nihilist worldview, and it comes out strongly in the story Nyarlathotep. It's set in a world where society is being undermined by the Big N spreading his message through mass media. I wonder if it resonates with readers more deeply today than it did when it was written.
But more broadly the "Mythos wins in the end" is way overdone. In the broadest terms, the Mythos "wins" only in the sense that it is the ultimate true reality of the universe, and our world is just a "placid island of ignorance". That doesn't mean our placid island isn't pretty important and worth fighting for. Both in the stories and in the RPG campaigns, humans can and do fend off the Mythos.
Yeah. I also haven't played Warhammer, but I've played a ton of Call of Cthulhu. Nihilism isn't my view of reality, but I do find it fun to play in that setting.
1) H.P. Lovecraft was nihilist, but he was not post-modernist. Post-modernism as a movement began in the 1940s or 1950s, with a precursor being Jorge Luis Borges - and moving on to authors like Vladimir Nabokov, Samuel Beckett, Umberto Eco, and Kurt Vonnegut. In Lovecraft's nihilist worldview, there is absolute certainty about meaning, while post-modernists deal with unavoidable doubt.
2) Role-playing in a modernist, nihilist world is in some ways freeing - that I as a player or GM can impose my own meaning onto the events, and decide for myself who I consider good or evil. I care a lot about what my Call of Cthulhu characters did. The fact that it doesn't change the eventual end doesn't change how I care about those characters.
3) In an RPG world of explicit, tangible good and evil, meaning can easily become reductive. For example, a given character is Good - and you can test that good with "Know Alignment" or talk directly to the gods of Good. That can reduce my interest in stories of virtue and/or corruption.
As a side note, I find very little in common between Call of Cthulhu and Warhammer and 21st century "woke" games like Blue Rose or Monsterhearts. That might be a topic in itself.