In RPG's they do or at least there is a constant possibility for them to fail, no matter how good they are. It's were the 'G' part springs into action...
Actually, the 40kRP system only actually requires tests on tasks where failure is costly or significant to the narrative - in most cases, the GM is encouraged to simply let the character pass. A good example of this is the Literacy skill - characters who can test against the skill will pass without event 99% of the time, but occasionally a difficult-to-decipher text will come along and require a test. Same with language skills, or the Awareness skill - in this case, you really only test when trying to spot something not immediately obvious, as the rest of the time, you can see, hear, smell, taste and feel things without difficulty.
And even in situations where you've failed, often the only consequence is simply not succeeding, wasting the time spent attempting the test, but not precluding any further attempts (time permitting) or causing any other adverse affects.
Bearing these notions in mind - and they apply quite broadly to RPGs in general - can often alleviate feelings of character incompetence. Failing a test to pick a lock might not mean that the lock can't be picked, merely that it can't be done in the space of time represented by a single attempt... it might take two or three distinct attempts in game terms, while in narrative terms, it's simply taken longer than expected.
Writing Credits for Fantasy Flight Games: Into the Storm, Edge of the Abyss, Battlefleet Koronus, Hostile Acquisitions, Black Crusade Core Rulebook, First Founding, The Jericho Reach, The Soul Reaver, Only War, The Navis Primer and Ark of Lost Souls