Normally I do feel a bit bad at losing units. I ideally would like to keep all of my units from start to end no matter what the mission. The thing is, I feel bad, but it is not so much that I will get really upset over it. It is more the fact that keeping all of your units means that you won, and it is and impressive feat. Keeping all of your units means that you have the maximum ammount of power - you have all the help you can get and know that you are in a much better position than the other team or side you are fighting.
It is basically like how I feel in a game where health or energy does not regenerate rapidly, or over time. I guess I can go on with out some troops or units, but I would much rather be topped off all around. I guess if you only start with three or four other units it might get to me a bit more. In that case, losing one or two nearly puts me up against an entire army left. I also suppose if one of those guys happens to be my best life-saving friend or the undeniable superman wizard of all units, I will also get a bit upset due to him probably being the strongest unit in the game. The thing is, normally there are many, many more units and while I will wish I would not have lost that one unit awhile back, I am not going to restart the entire game when I only have to kill a few more enemies to win.