It's mentally discouraging if you can't see a path to get to your goal from where you currently are. Much of human growth as we grow and mature is learning how to "operationalize" - how to break down large seemingly-impossible tasks into smaller, doable tasks. For a small child that might be learning that "clean your room" actually means "put your toys in the toy chest, put your shirts in this drawer, put your pants in this drawer, and make your bed". Before understanding that breakdown, "clean your room" might be an impossible task for the child.
Similarly with games, it can be incredibly daunting to see a huge gap in game skill and/or performance because you haven't yet learned how to operationalize the tasks needed to perform at that level yet. Depending on how much grit (the "not giving up" quality) the player has, that can either be the end of it or it can be the point of catharsis for the player to figure out how to get to where she wants to be. As we learn these skills and figure out how they fit and work together, the overall goal should become more and more practically achievable. As designers, we generally try to avoid creating experiences where skill gaps are shown so visibly for just that reason - we don't want players to give up before things get fun - but there's also that tradeoff of players wanting to see just how cool and awesome a thing can be at its highest potential.
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