I know exactly why. We have something similar in Canada, but in a more positive way:
Our
1837 Rebellion was put down decisively by the British authorities. Nevertheless, it paved a path forward and caused significant lasting effects that were in line with the rebels' goals. The Canadian rebels became national heroes, and a century later, we even had
a Prime Minister named after - and descended from - one of the leaders of the rebellion.
So in this respect, I see precisely why someone would celebrate people who lost on the battlefield but created a lasting legacy.
In Australia, our largest military-related celebration is ANZAC Day. This commemorates our sound defeat on the shores of Turkey in WW1. It's basically a way to remember the service of our soldiers, our increasing independence as a nation (as opposed to being a British colony) and the damage caused by war. But it was very clearly a defeat. It's a very important day on the Australian calendar.
And in Victoria the only armed insurrection we've ever really had against the government was a thing called 'the Eureka Rebellion'. At least 27 died, so it's not exactly at the level of 'global conflict'. Miners rebelled against oppressive British licensing laws, and again it is somewhat seen as establishment of an Australian identity (rightly or wrongly). You might have even seen the flag they raised, since it still gets used in some senses now...(designed by a Canadian, incidentally)
The other folklore-ish character that fits in this categorisation is Ned Kelly, a notorious bushranger who ended up hanged. His gang fought a pitched battle against police before his capture, and wore the famous (in Australia at the very least) body armour, and helmet you might have seen depicted.
Of the three, it's Ned Kelly who is probably the most controversial, and in some ways has the most parallel with the Lost Cause narrative. Australians often wax lyrical about his bravery in the face of an overwhelming Federal response, with the saying 'As bold as Ned Kelly' being an actual thing. For those who remember his legacy fondly, there is generally mention about him defending his family, and of the hard nature of the Federal government, and her representatives.