There's a lot of games where the "State" is important the most obvious of which being poker.
In a game of poker you can devise a game theory optimal strategy for any given position which is objectively the best, but that's not what most players do. They try to mix in exploitative strategies which abuse the tendencies of their opponents. These tendencies are revealed after extensive experience with the players.
There is an aspect to this in chess as well, you can treat the best move as the one which is objectively best (Game theory optimal, as evaluated by chess engines usually), or you can treat the best move as the one people in general have a hard time responding well do or that your opponent doesn't play well against (Exploitative, as evaluated by opening database statistics or a players history). Yet once a tricky opening becomes popular, people wise up, and it starts becoming a bad opening again. Whereas old traps become forgotten and effective again. Whereas objectively good moves are always objectively good.
Another huge aspect to winning the game is just playing against bad players. In chess players your performance is rated based on the rating the other player, so you shouldn't fear playing games against a stronger player. In Poker your performance is measured in dollars, and you should absolutely fear playing games against a stronger player. So to be most effective in poker, you want to know the history of the people you're playing, which is why poker tools like sharkscope exist which tell people which tables are filled with historical winners.
You can play games in a stateless way and do pretty well, and the benefit to doing so is you learn skills that work against anything from the weakest to strongest opponents and allow you to play objectively good moves. But adopting a few stateful strategies can absolutely give you an edge against squishy humans. You can play the board, or you can play the player, at the end of the day all that matters is who won and who lost.