If you haven't read the rules pdf or seen the similar posting on BoardGameGeek, Frozen Wastes does have two ways to "win."
Besides just gathering clues and finding the princess to return to Arshan, the ending featured here at FFG in the preview article, you can opt to have a showdown with Arshan and beat him. And any guy who mopes and whines for centuries over being stood up by a woman to the point that he goes mad probably deserves a good smackdown.
His woman trouble is very similar to that of Ronan, although to be truthful Ronan's never had much luck at getting any woman interested in him, much less a princess.