They think their wealth, position, etc. is a result of merit. However, they know their wealth was not earned, but given. At best, they were born into a position of privilege and simply used their existing, unearned, wealth to build more.

Losing at a board game forces them to confront the fact that they aren't any more clever than their peers. They didn't get to where they were on their wits alone; they started the game with a few routes already developed.