I don't really see how it does this, though, because everyone knows that the test is unwinnable and that everyone dies. This makes it pretty hard to obtain the requisite level of immersivity; as games designers know well, getting people to immerse themselves in your simulation game isn't just a matter of having realistic graphics, but also of having there be just the right balance of control and uncertainty. Games which are too easy (e.g., playing in god mode) or too hard (where you clearly can't survive at all), are very hard for people to take seriously, which would seem to be a critical element if you want people to "experience fear".
How does the Kobayashi Maru test make any sense?
As veteran Star Trek viewers know, Starfleet cadets take the Kobayashi Maru test. The details of the test don't matter; what matters is that it's a simulation exercise designed so that there is no way to win, and either the cadet in command lets a bunch of innocent people die or their ship gets destroyed. As Spock puts it in the 2009 Star Trek reboot, the purpose of the test is "The purpose is to experience fear. Fear in the face of certain death. To accept that fear, and maintain control of oneself and one's crew. This is a quality expected in every Starfleet captain."