You can absolutely do this

WARNING: This answer contains multiple spoilers, beware of things under the quotes

You aren't the first to think of this. Often this is used to setup a sequel but you can also subvert it. Below are a couple of well known examples, beware spoilers (you have been warned).

Title


Avengers: Infinity War


What happens


It's a super hero film, they are expected to win, that's basically how the genre works. Instead as "earths mightiest heroes" combine they unable to prevent Thanos from activating the Infinity Gantlet. Half the universe ceases to exist and the villain gets away.


Title


A Game of Thrones (Book)


What happens


The first book in the series sets Ned Stark up as the hero. He gets more narrative time than any other character, he is the most likable and noble of the bunch. This is the start of a heroes quest to route out corruption and bring the kingdoms into a new ages of prosperity. Until he gets brutally executed at the end of the book. No great salvation for this hero. He's dead.

So knowing that it isn't unheard of to do this, let's consider your questions.

Is this in general a poor way to end a story, or an effective one?

Would you judge either of those examples as a "poor story"? I certainly wouldn't. In fact I think the sudden plot twist has been a keystone of their success.

Would this kind of ending make sense, or would it be too sudden and immediately turn off the reader?

The key to avoid is your readers feeling cheated. Don't go out of your way to prove that the protagonist should win, they are already expecting that. Instead ensure that it is actually feasible that the antagonist could have won. Readers will hate it if your powerful hero is suddenly weak at the crucial moment. You need a realistic and believable way for your antagonist to have won.

Some readers may still be turned off. That's ok, your writing doesn't have to be for everyone. Others will love you for it. You are subverting a trope and if done well, on your way to a classic.

Should any instances of foreshadowing be implicated?

Foreshadow to your hearts content. Or don't foreshadow at all. It doesn't really make a difference. Readers will still believe the protagonist is going to win. That's what protagonists do.

How you use foreshadowing and set up the narrative is really beyond the scope of this question. Suffice to say that even if you straight say the antagonist is going to win, if readers like your protagonist they will still have hope that there will be a miraculous save in the end.

Would it best go down as a surprise moment?

To me, the surprise is the best part of the whole thing. So many novels are predicable to the point of being dull. I can often guess how the hero wins and which of their allies makes a noble sacrifice several chapters before the climax of a story. Breaking those expectations in refreshing, intriguing and brilliant writing.

You will get backlash

Killing off your protagonist will never be without risk. All authors face backlash when they get rid of a favourite character. Be prepared for this. That doesn't mean you shouldn't do it though. It means you got enough investment in your book that readers are having emotional responses to the words on the page. Isn't that the goal for any author?

Conclusion

You can and should do this if that is the story you want to write. Beware the backlash from devastated fans. But don't use that as an excuse not to write a great book.

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