Of course they don't all expect to win, but the ones that are going in with talent have a hope of it and at the absolute very bottom line IMO, it's about ego. Ego means not wanting to look super unpopular while standing next to whatever conservative man with no talent they put in the line up that season. At the end of the day, the celebs have fragile egos and don't want to look like fools. Also maybe I should have said, you will not get ringer types, which means a lot of mediocre dancing. It's still a popularity contest and ones that celebs are not going to want to lose.
I'd also add