Fun is not fun anymore
You could play, say, a very difficult game of chess and do not have fun in the traditional sense but rather enjoy the challenge. This apparent contradiction is similar to the one that happens with horror stories. By definition, fear is not pleasant, however we do “enjoy” horror films. Reading a dramatic story may not be fun, but it is a rewarding experience. I believe that with games the situation is –or should be-similar. It is not that important that the player has fun, but rather that she has an interesting, challenging experience. Fun is secondary.