Even though my boys had Legos they never played with them. Everything my boys do together must have a competive edge to it. Dinner is a competition in my house, who eats more. I swear sometimes I think I should wear a black and white ref's shirt and a whistle around my neck.
My sons are the same way. The younger one handles "loosing" better, but I think it is because he's been competing longer. The older one didn't have any "competition" until the second one came along. It is healthy for them - as long as it doesn't get out of hand.