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Of note is that queen #3 was convinced of such by Jurati *after* having assimilated Jurati.
This turned Jurati into a nagging voice in the queen's head, apparently with access to the queen's enormous mental faculties, whereupon Jurati calculated that the Borg *always lose* in *every single timeline*.
Sometimes they lose to the Federation, sometimes they wipe out the Federation only to lose to someone else, but they always, inevitably, lose.