RPGMemes

Are there still people that play Roleplay games with the objective to win?

There are definitely storypaths and modules that are explicitly designed to challenge your ability to not-die.

You've got the Tomb of Horrors from classic D&D and it's Pathfinder peer Rappan Athuk from pathfinder. Having played Rappan Athuk, I'll say that the style of the dungeon is "unforgiving" to say the least. It effectively exists to either kill you outright or suck you in deeper, where the challenges grow exponentially more difficult. The designers have done their own rules-bending and system-exploiting such that min-maxed players are on even footing. By the end, you're squaring off against nigh-impossible to kill elder gods using whatever spare gum and twine still remains in your inventory.

In these kinds of games, you're tacitly encouraged to build characters that are cracked out (or, at least, bands of blissfully naive heroes who will die in an absurdly entertaining fashion). In this case, the RPG plays more like a Beat The Boss board game than a storytime adventure.