Same here, in the beginning I lost like 75% of my games on Veteran but now I've moved on to Allstar because eventually I started winning all my Veteran games.
And on the side note, I personnaly never really felt the CPU had this big comeback code writen all over it. I've closed many games with a 4+ run lead with the CPU not even scoring in the last innings.
But hey everyone's experience is different and maybe it's even skill level based I dunno, haven't touched HOF or Legend yet.