There's nothing wrong with losing games but if you're losing every game and are on one of the worst teams in the league and don't see things getting better, it could be time to find a different team.
At the younger ages (any age actually) losing lots of games can be demoralizing and the kids could lose interest. Why would an 8 or 9 year old want to keep losing? It can be hard enough to keep kids interest in something at all at these ages. Hockey takes up a lot of time and money. You want it to be worth it for everyone.