Do you play wargames that are the "action sequences" in a broader milieu that is not part of the wargame itself?
I write a number of "wargame campaigns" where the engagements are the action sequence of the movie and the in-between bits are executed with non-wargaming rules (ranging from simple VP driven branching, to elaborate off-battle decisions and … well … role-playing).
To be fair, actual wars are the movie action sequences governed by the in-between bits of politics. So what I am asking about is series of wargames where at least the outcome of each battle (and possibly other off-wargame action) drive the conditions for later battles.
So, yes, my answer is yes.
Pulp adventures like "The Mummy" or RotLA work well as a series of connected battles, sometimes tight like the three-day Battle of Gettysburg or sprawling like the Ottoman invasion of Europe. Though my fave milieu for an action campaign is 2000 AD's (remember when that was the future?) Mega City One milieu.