Well, usually I’ve been quite pleased with CoGs and Hosted Games I’ve read, and I certainly think it’s worth saying that positive experiences have far and away outweighed frustrations, but there have been some of those, yes.
Most notably was Choice of the Rockstar, I’d say, which managed to frustrate me both mechanically and narratively
it kept feeling like it was a game when I wanted it to be a story, and a story when I wanted it to be a game… basically forcing me down a very set path, including a forced relationship (
), but at points where I really could’ve used more storytelling, like fleshing out the interactions with the bandmates, it felt very bare.
(Oh, and it’s not really a CoG or Hosted Game, I guess? But Alter Ego is up in a choicescript version, and that frustrated me immensely with how sexist it is 
Then there’s thing like, okay, I’m extremely impressed with Paradox Factor, that’s a masterful concept with masterful execution and coding, but I did have a rather frustrating experience working out the endings
(I also felt a bit frustrated about some of the way the endings were set up, but I think we can call this artistic differences
)
I mean, I am still in awe with how it manages to do the code, though 
For that matter, one of my favorite CoGs is Wise Use of Time, but I did get extremely frustrated due to my character dying after having already played most of the game, especially since I believe I’d gotten into a situation where none of the available choices would’ve worked
it does make sense narratively, but replaying the whole game is a hassle. This goes to show how these kinds of death checks can really disrupt an otherwise wonderful experience. (Some sort of save point, or having it a bit less stat-based, might’ve helped… though I think overall, I’d just caution against such abrupt game ends in most CoG-style games
)
On the flipside, failure doesn’t always mean frustration. I did abysmally in Hollywood Visionary, making a flop movie, losing my relationship, and generally being a failure at life, but it created this really immense tragic hero arc, which was gripping to read.
(Also, aw, I liked Figs in Tally Ho!
)