Well lets say a guy makes 10 finals and wins them all. He probably plays other majors that he loses in. So losing in the final is better than losing before the final, yeah?
If someone only played 10 majors in their life and won them all then that might have a claim to the better achievement, but 20 finals is insane. So that still wins I think.
I mean what's better, 10 finals, 10 wins, 10 losing semis, or 10 wins, 10 losing finals? I find it hard to prefer losing in the semis or before to keep up a 100% record in finals. That would just suggest that the player is unbeatable at best but when below their A game, they weren't good enough to make finals.