I don't think they are miserable when their team wins. But like most fans winning it all doesn't happen every year. SO there end up being secondary things that give you enjoyment as a fan of your team when winning it all is no longer an option. Like myself for instance, I start every year with the hope of a Championship(even though I understand it's not likely). At some point during the season it will become clear that the team is going to contend or they are not, either by personal opinion or sheer math. Once the chance to win it all ends, me personally I tend to focus on the prospects, casually look ahead to free agency. And that's where I get my enjoyment from the game when my team can't win it all.
The ones I spoke of earlier start every year thinking the team will fail. Their secondary enjoyment comes from being able to point fingers and thump their chests and say "haaa I told you so". In the instances the team actually wins or makes a deep run in the playoffs(whatever your personal bar of success is) they are happy. But they are quick to move on and call it luck and get right back to what the holes are in the team going forward.
It's just who they are, every fanbase has them. Just like every fan base has fans like me, or fans that are complete homers and so on and so forth. I think a lot of arguments start around here because people forget that just because we root for the same team it doesn't make us the exact same type of fans.
I think it would do us all some good to occasionally remind ourselves of this so when someone new pops in we all don't look like a bunch of douche bags bickering back and forth Not saying we all should agree all the time, just some arguments are just and some are just bored mud slinging that make all parties involved look ridiculous, me included.