Excluding the Horror genre and individual movies in a series, what movie story ends with evil winning?

Pretty much any Batman movie. It's subtle, because it's not chaotic evil, but lawful evil—the status quo, established hierarchic power structures and systemic injustices that plague the city remain in place. In fact, enforcing and protecting status quo is the whole raison d'entre of Batman, who is an extremely priviledged rich individual benefitting and profiting from the status quo. And thus has no desire to enact real societal change, unlike eg Baine.

I'd argue James Bond is also the same. Yes, Bond villains are evil—irrationally and comically so—but like Batman, Bond represents, enforces and protects the same hierarchic power structures and systemic injustices that give rise to these villains.

Then there is Star Wars and all this light vs dark side. But if you stop and think about it, Sith and Jedi are just two sides of the same medal. Jedi mind trick that coerces someone to do something against their will is extremely evil by its very concept. Especially in how trivialized its use is in the movies. Also, there is nothing civilized about lightsabers. These are horribly dangerous to the wielder and their opponent alike, will easily cut through hull plating by accident (a bad thing when a cm of material is all that's standing between you and hard vacuum). And would in reality not make a clean cauterized cut, but explosively flash boil the target with the end result like being blown from a cannon.

Lawful, systemic evil is the most devilish kind of evil; it's so subtle it goes unnoticed and is even celebrated as good, no doubt in no small part due to the vast propaganda machine lawful evil loves to build up around itself.