In chess, which doesn't have a clear comeback mechanic, this sometimes works out, since the impact of late game mistakes can vastly outperform early wins. So, comebacks are clearly and directly linked to the skill of the winning player making a mistake and the skill of the losing player being able to capitalize this mistake.

But even that direction doesn't come for free. As in such games skill is so important, inexperienced players fighting each other will have a lot of huge randomness in their outcomes and altogether the game only becomes fun once you reach a certain minimum skill level.

Last but not least, there are also alternatives to comebacks. For instance, in poker or pen&paper roleplaying games a factor of pure randomness is added. So, while on average the skilled players will have almost all the positive experiences that chess players have (they win more often, they have more clarity and control about the progress and current status mid-game), the unskilled players can sometimes make a lucky win which seems satisfying enough that some people get addicted to poker without ever gaining much skill.

As Monopoly also has a random element, I wonder if simply tuning the impact of randomness would make it more fun, allow for more lucky comebacks, etc. As a stupid example, maybe event cards could introduce property tax rates that stay until another event card alters them, or a renter being unhappy about the rental property won't pay the rent or even create costs through law-suits, required building repairs, or clean-ups.