I am doing something wrong and I don't know what

[Telonius]

I'm seeing a common factor here.
PCs run into a situation where they can't get a clean victory - either because of their choices or just because the odds are too much against them. The best they get can is a mixed result with some bad-feeling parts, or a more complex situation they can't really predict.
They attempt to solve the problem in a straightforward way that removes complexity, and will give them a solid win if it succeeds.
You warn them that this will likely be fatal.
They do it anyway.

Unsaid: "We would rather TPK (and start a new campaign where we have a chance of doing everything right) than survive in an unsatisfying way."

Details:

Spoiler

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TPK-1: They don't want to " force-march, make decisions such as if they want to leave the wounded and sick behind, whether to forage or go hungry, etc.", they want their entire tribe to survive, and are willing to risk a TPK for even a small chance at that.

TPK-2: The web of alliances and double-agent/triple-agent is rather complex and the results are uncertain. Attacking the Regent directly is simple.
Not sure why the one PC stayed behind. Maybe thinking the Regent wasn't quite dead and this was an escape plan? Or just wanted to see what would happen?

TPK-3: Political play is again, complex, and they don't want to accept a partial-success result, which it seems like is all they're going to get. Killing the rivals is simple and would give them 100% success ... if it worked.

TPK-4: Ok honestly? I would have been dispirited by this one too, and might have voted for "win so hard the ****up doesn't matter, or die trying" with the rest of them. By unluck, they lost the alliance of a city they were trying to cultivate, in a way that feels extra-bad. Every sensible option at that point is going to somewhat suck.

There's a spectrum of opinion on this. At one end, that tragedy, loss, facing tough decisions with no good answer, recovering from and making amends for your failures, and accepting limited success are all key dramatic elements and of course you'd want those in your RPG. And at the other end, that those things mostly suck to experience and be reminded of, and we didn't come here to feel bad, so there should always be a Kirk-style solution to Kobayashi Maru problems.

If my phrasing sounds like it's favoring one, that's my bad, this is purely a difference of aesthetics with neither being "better". It's just a difference to be aware of.

It sounds like you're closer to the first end and your players are closer to the second. So when things start pulling harder in the direction of "consequences", their engagement is reduced.

This is pretty close to my thoughts on the situation - Kobayashi Maru is a pretty apt comparison. Kirk refuses to believe in unwinnable scenarios; he charges in or tries to cheat fate every time. Your players are running under that way of thinking. Terry Pratchett would be another good way to look at it. I think they want to be playing in Discworld, where heroes know that the million-to-one shots are the ones that pay off.

I'd talk to them about this; ask them if that's the sort of game they'd rather be playing. If they're still having fun regardless, that's okay; but (as a DM) you don't want to have hours of planning go into the trash because they decided to rush the BBEG before they were ready.

[Yahzi Coyote]

I have a different solution.

My world was generated by my Sandbox World Generator (see DriveThruRPG). So when horrible monsters show up, I just shrug and say, "That's what the computer said was there."

They know the encounter wasn't constructed for them; and they know if they don't like the looks of it, they can go to some other encounter. So if they bite off more than they can chew, it's on them.

Not only does this keep them honest, but it gives them a sense of agency.

[GameMaster_Phil]

It looks like the morale of your players just gave out and they tried to jump the rails.

They had too many frustrating experiences and during each of the TPKs they basically, as the previous posters wrote, enforce a decisive battle. If I were a player in this campaign, I would be ground down by the constant low-medium risk, low-reward gameplay. You run from an Overwhelming Enemy and all you can do is sacrifice stuff and people just to stave off the inevitable failure. That's not fun.

The waves of undead coming after them - no reward, those battles just stave off failure. Not fun.

And having a Danger Pocket (something hostile which is extremely dangerous to your PCs) actively come after them is maybe not exactly the best idea.

From what I read, your players only have low-reward options in their available decisions. All they can do is managing risks, and you appear to have pretty strongly determined, what the most risk-free way of action is already. So they search for a High-Risk, High Reward action to score some meaningful victory, which probably would improve morale of your players immensely in that moment. They even ignore your flat-out telling them it is actually No-Risk-but-automatically-fail to get a bit of success. They want to actually succeed, not just delay failure.

So I would offer them decisions where they can actually improve their situation by themselves. TPK 1: Maybe there is a mountain monastery nearby, which is hallowed and well-protected against undead by Forbiddance or somesuch. Getting there would be a detour, and it is besieged by allies of the Bone Knight, and the PCs only have one shot to break through the siege to get the orcs to temporary safety. They would still be almost alone in hostile territory, maybe aided by some monks and clerics, but that would be a success (orc tribe is safe, at least for some days). It doesn't have to be easy, it can be high-risk, but the outcome should be a no-strings-attached, meaningful improvement of their situation. And make sure they can actually decide (and have enough information), if they want to continue their escape or find temporary safety at the monastery. That sort of thing.

[Thurbane]

That's...a very different reading than what I took away from OPs synopsis.

Funny how two people can read the same thing and have such different takeaways. That's not meant as a criticism, just something I find quite interesting. Obviously different people, and different groups, have very different gaming styles and expectations.