It depends on your gaming style and what you want from a game. Like you, I found the skill-check system frustrating at first and reloaded a lot, because I couldn't bear to "lose". But when I discovered that losing rarely LOSES you anything - in fact, it often opens up a whole storyline or area that you never otherwise would have discovered - I opened up to the idea. This isn't like most games where there is one obvious direction you are supposed to be aiming for. They've put a lot of work into fleshing out multiple narrative trees, some of which only come into being if you fail at the apparently "correct" route. Having Arabella die, for example, gives you the great scene with her parents at the Tiefling party. If you fail to persuade Nettie to give you the antidote, you can kill her or pickpocket her - or even make your own!

There are a few points when failing a check closes off an important part of the game, or makes getting something not very significant massively harder, and those are annoying, but there are usually several ways round every problem (eg: I just tried sneaking through the hole in the wall at the back of the Zhent storehouse instead of walking through the front and risking being blown up if I fail a dialogue check, and hey, completely different outcome!).