High difficulty + bad start = lose the game
No, most maps are winnable, especially on Emperor.
More than likely. I tried not building districts in the early game as advised, and ended up horribly behind in science. People have said 'you will lose' if you start with two scouts, and if that's the case then it's not really much of a game - it's more of a strict routine you must follow otherwise = you lose.
It is going to take several games to figure it out. Be patient. It isn't as if there's some magical formula. The first 20 turns or so can feel a little scripted - that's because they are so important. After that you can branch out a bit more.
Take another game - say, Overwatch, which I have been playing a bunch. Maybe playing Genji is fun for you. But Genji is not meta, and perhaps you like playing Genji all on his own and you aren't working as a team. You are going to die a lot and not win many games. Most video games, in fact, punish you for doing things incorrectly. Choosing a higher difficulty level means you are basically asking the game to punish your mistakes more. You can have fun in Civ in different ways - by making and fixing mistakes at a high difficulty level, or by playing at a lower difficulty level and having more freedom to do what you like. But don't complain that the game is restrictive because you can't do whatever you like at high difficulty levels - that's just being salty.
Building two Scouts at the start will not lose you the game. It will put you behind though. You are delaying your first builder and likely your first Settler in order to gamble on getting a big payoff through CS's and goodie huts. Scouts will not be able to defend you from barbs or early AI aggression. There are no early Inspirations or Eurekas directly related to Scouts (although they can help find stuff that does give you boosts). You might hit the jackpot, but you are more likely to just lose them to barbs or get stuck in AI lands or just not find much. You'll have wasted turns and production when its really really important not to waste turns and production. Therefore, building two Scouts at the start is basically putting all your eggs in a really shoddy basket.
Here's another way to think about it. In Music Theory courses (I'm a music teacher), you'll often hear students grumble that they don't want to follow all of these rules the teacher lays out - they want to be creative! The common response is something like "you have to learn the rules first in order to break them." Famous composers break those rules all the time - but they do it purposefully and with a goal in mind, backed up by years of experience. Learning a higher difficulty in Civ is like that. You have to learn the good habits and best practices - and it may feel a little restrictive. You'll have to put "having fun" (in the sense of doing something different and unique) to the side for awhile. Ignore religion. Focus on "optimal" builds. Once you have a few games under your belt, you can try different approaches. For instance, I could comfortably win on Emperor, but not with Religion. So, I tried using Religion, and I lost, a bunch. Eventually, I found a formula that wouldn't put me so far behind, and now I can do decently in a game even if I take a Religion.
I'm trying to see if there's any actual 'fun' left in this game. Or if having fun and being challenged are mutually incompatible in Civ.
Its a different kind of fun. See my earlier comments. Choosing a higher difficulty means your mistakes are going to be punished. Learning to play a higher difficulty means having fun by improving your play and fixing mistakes. If your definition of fun is "do whatever" then yeah, that's not going to work out for you.
This is what's left to me after disasters and barbs. My mistake here was to try and get an early religion. As you can see I was punished very heavily for that, stupid me! Here comes the AI to finish me off
You are going to have to learn how to get a Religion without leaving yourself defenseless, aren't you then? We're here to tell you that it is entirely possible to do so. We will give you suggestions on how to do so. You have to have the right attitude - in order to succeed where you have failed in the past
you are going to have to do things differently.
So to win at higher difficulties, you have to follow a checklist of approved early builds otherwise = you lose.
No that's a recipe for hundreds of restarted maps. Don't learn build orders, learn the fundamental principles of the game so that you can adapt to different situations.