Is that really true though? If all your cities are pillaged , you are still going to lose, with cities lost or not plus pillaging is so strong and certainly outweighs just losing a few units. Plus units are mobile and walls aren't. I mean you could just camp holy sites and pillage them for enough faith to buy a new great general on its own. It would seem the problem is with the siege units. Quite a few other games fixed this by making siege units highly resistant to city attacks.