...how would you react to a main quest that you could actually fail? As in, you failed such-&-such a task, now the MQ is finished and such-&-such is the consequence. Would there be any market for that kind of ingame consequnce, or is it too alien and non-gamey?

In fact, it seems to me that there aren't many/any quests that CAN be failed. Quests that are unfinished yes, but actually finished, but failed?
I know there would always be the reload option, just tossing ideas around.