Assuming that you can only be attacked and lose land, and cannot retaliate or expand by means of a military, I think defensive-only military conflicts in a game which includes military conflict as a territorial mechanic would be kind of a silly restriction. If you have other options, why not that one?
For an aim, it would be nice to have a variety of options to choose from, maybe even as a choice of win conditions before you start a game. The obvious way to do this is using the ducks-in-a-row method employed by many solitaire games : Reach 0% unemployment, 100% fulfilment, or what-have-you in all regions, or establish trade routes, diplomatic relations, etc. with all neighbours.
You could also use an actual "main goal" (again, why not choose from a selection, to reflect the play style you want for this session?) Reach the moon, build a world capital for trade, culture, etc. Building a set of scientific colleges (botany, zoology, chemistry, astrology, etc.) would fit nicely with a steampunk feel. The level of outside influence or competition you want will probably determine which of these are more likely to suit.
The goal could simply be to drag your nation, kicking and screaming, into the modern age. They'd bitch and moan about all the changes, but they'd be pleased with the outcomes, so you'd be trying to make the transition as smooth as possible by capitalizing on advancements to make up for loss of jobs and ways of life etc.
Collecting points may initially seem uninteresting, but there is no reason why it should be. Key to success with this goal is making the points represent something interesting or valuable, more like achievements or medals. For example, your nation could have mad inventors who write to the king asking for funding for projects. You, as the king, decide, which of these are likely to succeed or fail (based on the inventor's region of origin and its available resources, availability of supporting technologies, etc.), and fund the right projects, which, upon completion, will give you a victory point. As the project progresses, you receive further instructions, requiring you to meet various randomized mini-challenges to keep things interesting, but you can, of course, push resources in the right direction, research technologies, free up labour, and draw in investors, to indirectly influence the chance of success. Failure of the project would probably cost you a VP, but there may be ways to mitigate the loss. Maybe you even score on multiple tracks. Let's say a successful project to build the first airship would give you an industrial point, but if you publicize it and gain foreign investment, you could gain a cultural point as a bonus. Going for the bonus point comes with a risk, because if the project fails, you will lose both industrial and cultural points. Now points are not just a score, but a reminder of a challenge successfully met.
It would be nice to be able to build networks based around companies (or "societies" or whatever) which arise spontaneously as a result of the right combination of resources and abundance of enterprise. For instance, a region with a good supply of steel and coal, and a certain level of throughput within the kingdom would result in the rail company being set up. That would allow you to access the railway infrastructure interface, which would allow you to increase the flow, both domestic and international, of trade goods and resources. Similar systems would work for electricity, gas, airfields, etc., each of which would bring improvements in some area (resource flow, access to technologies, citizen wellbeing, etc., even tourism and renown). This might be a nice way to give some focus and distinction to individual regions if only one company or utility can be run from each.
Maybe the projects come up as challenges from other nations, as in "Your neighbour, France, challenges you to a race across the Atlantic" or "British build 100MPH car!" and you have to do it bigger, better, faster, etc.
Or you could commission the projects yourself. The challenge then would be to take enough out of the country to complete the project, without upsetting the population, disrupting trade, etc.
I may have got a bit carried away there. I'm not very good with the aim-of-the-game question, but I think if you look at the big achievers in the industrial revolution, and try to isolate what made them winners in whatever sense you deem most enjoyable, it should give some clues as to what a player should be expected to do in order to win in a game about industry.