Shock loss, but you won finals (4)
I believe the answer is:
stun
'shock' is the definition.
(both can mean to surprise)
'loss but you won finals' is the wordplay.
'finals' says to take the final letters (the final letters).
The last letters of 'loss but you won' are 'STUN'.
(Other definitions for stun that I've seen before include "Shock or astonish" , "Numb with nuts" , "Render temporarily senseless" , "Daze with nuts" , "Knock cold" .)