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It means believing in yourself. It means willingness to accept “failure” so you can learn the critical skill of adaptation. It means not compromising on your most important values, and walking the walk, rather than just talking the talk.
It's important to fail because it teaches you valuable life lessons–you don't always get what you want, being right doesn't mean you'll win, heart is more important than skill, never take anything for granted, etc. Instead of perceiving failure as a negative, look at it as a chance to reset and start again refreshed.