It's a loss to play a different character next session because now I'm spreading my experience points thinner. My new character doesn't benefit from this session's play, and this character doesn't benefit from next session's. On the other hand, it's a gain to play a different character next session because maybe THAT character will have a higher endurance, or otherwise be better suited to taking on this particular problem.
Now! Elliot and I choosing together to press on, or to ditch out and go home, THAT was a choice we made. You can see it in my writeup. After that first encounter, we could have been like, "okay Sebastian, you win round 1, but we're going to go make a better plan and find a third player and get some new tricks up our sleeves and THEN we'll see." That's a risk-vs-reward decision that we made.
However, notice that then it's still all about fighting the monster, and Sebastian, our GM, is under no obligation to give us anything else to do. He'd be like, "okay, make your plan, find a third player, spend your XP and your gold, I'll be here waiting." If I'm like, "my character goes on a date," Sebastian shrugs and says "okay. Let me know when you go back into the sewers." Even if we play out the date, for whatever reason, and let my character have relationships and passions and crap like that, in the back of both our heads we're calculating how this is going to change my character's performance vs the rat zombies and future monsters.
So even when we do enact a narrative, it's only a backdrop to the actual event. The actual event is the contest, Sebastian and his monsters vs me, Elliot, and our characters. Absent that contest, there's no event at all. The narrative doesn't bring us to the table; without the contest, we don't play and the narrative evaporates.