They manipulate player behaviour.
I'm not saying anything new here, others have been saying it for a long time.
Carcassone : completing a city gives you points, so you want to complete cities yourself and stop other players from doing so - but sharing a city gives you a share of points, so sometimes you'll help complete another player's city
Bang! : if you're the outlaw, you have to kill everyone else, but since killing the sheriff ends the game, you try to kill all the renegades before they kill the sheriff
Dogs in the Vineyard : if you care about how something turns out, you'll have to escalate and risk harm - do you care that much?
See how the win conditions, coupled with rules drive you to make certain choices?
A long time ago, I wrote this definition of "game" as entertained by our hobby:
A game is an activity where players have set goals and rules within which they may achieve these goals.
(bonus: this activity does not concern itself with the end product, but the play itself)
The game gives you a goal, which is usually to win, and then it gives you rules that conduct your behaviour on the way to reaching that goal.
Now, we all know we like to say you can't "win" at roleplaying games. What's the goal of a roleplaying game as oposed to say, Monopoly or MtG, where the goal is clear?
In a roleplaying game you (usually) play a character in a fiction (read "fiction" as "sequence of immagined events"). There is no goal for you - the player - other than "(role)play this guy".
1. some rpgs do have explicit goals, I'm talking in general
2. in some rpgs you do not play characters in this sense
So the goal is transposed from you, the player, to your character. What is the character's goal? What does he want? What drives him? What motivates him? This is to "win" at a roleplaying game. Play your character as a person, as someone who wants stuff and acts towards getting it.
Once he does (or is denied forever) his story closes, his drama is complete. There is rarely anything else to do here. So to prolong play, we suspend his achievement of the goal indefinitely. It is in both our interests that your character doesn't get what he wants, because that's what constitutes play. And we're here to play, right?
RPG rules shape the player's decisions regarding his character and his character. They transform the fiction. Their purpose is to
a) manipulate our behaviour to fit the game/manipulate our social space/make us agree on things
b) to help us suspend your character's achievements
I've come to these conclusions myself but it's pretty much the same thing that Vincent Baker has been saying for ages, only with different words (and in a more eloquent and appealing manner).