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But why does he necessarily have to lose? For example, if it's a Necromancer who has turned his opponent into mincemeat and is left in the final with 1000 skeletons against 1 angel, and he can't win.
In general, the comparisons of legions of skeletons with an angel or a fly are amusing. Do you think that a pile of meat is a strategic advantage, but greater speed is not?! I believe these advantages are in the same weight category! Even if you have a billion skeletons, if you can't catch up to the enemy, what's the point of your advantage?!
From what does it follow that he must lose such a game instead of winning?
There can't be a draw here simply because this isn't chess. If in chess the only condition for victory is capturing the king, and the whole game is one big battle, then in Heroes, victory can be achieved in different ways, and one specific battle doesn't always decide the outcome, even if it's the final. There are many examples of players losing their entire army in the final, but still winning. But in this particular battle, you ended up in a stalemate; no one wants to retreat, so what should you do? Wait until the electricity is turned off for non-payment? Someone has to lose, so they decided that the attacker is "guilty" for taking the initiative (maybe you've heard that initiative is punishable?). It wouldn't make sense to declare the defender the loser, who was just living his life, not bothering anyone, quietly collecting resources, and then suddenly got attacked! And he's actually a pacifist...
Added after 18 minutes
In our case, a draw in battle = victory for the defender in the game.