I think it might work well in a setting where the player gets rewarded for placing a goal further away, while also increasing the risks involved to get there (like perma death and harder enemies along your path). This way you encourage the player to really challenge themselves while also being realistic about their own skills. This would also facilitate longer play session in between goals taking away the problem of flow loss in between 'rounds' as a breather from time to time would be a good thing I guess. It still leaves the problem of level design, but there's certainly a solution for that once you know the setting of the game.
If I ever come across such a design, I hope I'll remember this thread.
If not, I hope you do. :D