This is a very nice question.
Observation 1. Some strategies have no play that accords
with them. Consequently, such a strategy for Alice is winning in
any game, since every play in conformance with it is (vacuously)
in her payoff set. (Similar strategies exist for Bob.)
Proof: Here, I consider a strategy to be a function mapping a game
position to the number to be played. A game position is an almost-infinite sequence, with only the final finitely many digits
remaining unspecified. Consider the strategy for Alice: faced with a
game position of prior play, she inspects her own previous moves;
if infinitely many of them were $0$, she plays $1$, and otherwise
she plays $0$. There can be no play that accords with this
strategy, since if the play shows Alice to have played infinitely
many $0$s, then she should have been playing $1$ at any one of
them; and conversely, if she had played only finitely many $0$s,
then she should have started playing $0$ much earlier than she
did.
Another instance is the always-add-one strategy you mentioned in response to
this, and I find that to be quite elegant. If Alice plays so as to
always add one to her previous move, then clearly she cannot have
done this forever. This strategy makes sense in games with natural
number plays, but actually one can use the same idea for binary
games, where the players play $0$ or $1$, by having Alice play a (strictly longer) sequence of $n$ consecutive $1$s on her next $n$ moves (unless playing time runs out).
An earlier answer of mine (see edit history) contains another argument, using
diagonalization and the axiom of choice. QED
Thus, it seems that Alice wins every game, according to the
definition you have provided. But I prefer to say that both
players have winning strategies, because they both have strategies
such that any play that conforms with them is in their respective
payoff sets.
Observation 2. If one modifies the definition of strategy
so that one's moves depend only on the opponent's moves in a
position, then not every pair of strategies for Alice and Bob have
a conforming play.
Proof: Consider the strategy for Bob that simply copies Alice's
previous move, and the strategy for Alice that plays $1$ if and
only if all prior moves of Bob were $0$. There can be no
conforming play for this pair of strategies, since if Bob was
previously playing all zeros up to a point, then Alice should have
played $1$ much earlier, and if not, then Alice must have played
$1$ without cause. QED
Observation 3. There is a game for which both players have
rational engaged winning strategies.
Proof: Consider the game where Alice wins every play having only
finitely many $1$s. The always-play-$3$ strategy is a rational,
engaged winning strategy for Bob, since it has conforming plays,
every conforming play is a win for Bob, and from any position, it makes
a move that is winning in the finitely remaining game. Meanwhile,
Alice also has a winning strategy: to play $0$, if almost all
previous moves were $0$, and otherwise add one to her previous
move. This strategy is engaged, since Bob might have played $0$s,
and it is strongly rational for Alice, since she is playing $0$s
whenever she is in a winning position; and it is winning for
Alice, since the only conforming plays are almost all $0$ and
hence wins for Alice. QED
Theorem. (AC) There is a game for which neither player has
winning rational engaged strategy.
Proof: This theorem will work regardless of whether one allows the
strategies to depend on the full position or only on the
opponent's prior moves. Let's say that two sequences are almost
equal if they differ on only finitely many values. Using the
axiom of choice, we may select a representative from each
almost-equality class. Let $A$ be the game where Alice wins a
play, if the play deviates from the representative of its class
for the first time on her turn, and Bob wins if the play deviates
for the first time on his turn, or not at all. The thing to notice
is that if $s$ is a play of the game, then both Alice and Bob had
incentive to have played differently earlier, for by making a much
earlier different move, they would have caused a much earlier
deviation in the play, causing them to have won earlier. Indeed,
it was irrational of them not to have made the earlier move, since
their opponent might have won on the next move. Thus, there can be
no rational strategy for either player resulting in such a play.
So neither player has a rational engaged strategy. QED
Define that a set is a tail set if it is invariant under finite
modification. These are precisely the sets that are saturated with
respect to the almost-equality relation.
Observation 4. In every game whose payoff set is a tail
set, every strategy is rational.
Proof: The point is that when you are playing a game whose payoff
set is a tail set, then the game is already won or lost when any
particular move is made, since the tail equivalence class is
already determined. So in such a game, no particular individual move affects the outcome of the game.
QED
Finally, let me mention that your game concept reminds me of the
archeological model of infinite time computation, where the
infinite computation grows out of an infinite past rather than
stretching into an infinite future. The idea is that, having
opened up a chamber under the pyramid, you find a Turing machine,
still running, with an infinite tape all filled out and with all
indications that it has been running from time stretching
infinitely into the past. What kind of problems are decidable in
principle by such machines? For an interesting theory, assume we
may find pyramids corresponding to any given program.