They don't have to. In federal law (and in several states), you're guilty of attempt if prosecutors can prove beyond a reasonable doubt that you had the intent to commit a crime, and took some substantial step towards it.
For example: Is the rational that if I earnestly believed I was planning on murdering someone who I thought existed, that it is the lead up and consideration that is the crime, rather than the actual attempt (which could never happen)?
Yes. That's why we have a crime of "attempt". You do not need to have a likelihood of success; it only needs to be proven that you did intend, and that you took substantial steps. Ulbricht spent more money on these crimes than most people earn in 10 years.
They've more than cleared that bar here.