Great responses by all. Here's my take.
People who love baseball and its history, and also don't mind doing some analysis, will stick to this game even if they initially struggle. Those who love baseball and its history but don't want to bother with card analysis will gravitate to other SIM games like Whatifsports and Simnasium.
The other thing I've noticed - when people first come to this game, they often select the big name players they remember fondly. Those who select the famous hitters (Ruth/Gehrig/Mays/Aaron) tend to do well. Those who select famous pitchers from the last 50 years (Koufax/Drysdale/Marichal/Spahn) will struggle, because the hitters from the last 50 years are much, much better values than the pitchers from the last 50 years.
Either way, I don't think performance is a main reason that people stick or go. I won't play Whatifsports anymore even though I do well. It's a decent game - I just can't play without the cards. It's the cards - you either love 'em, or hate 'em.