If we're going to include books then I get to add this in (I thought we were doing films only).
In the Terminator 3 novelization its established that the war is no where near completed as of 2032 with Skynet gaining more and more ground with humanity's numbers dwindling.
The official comic book of "The Terminator" includes a scene after Kyle goes back set in 2041 with John Connor still fighting Skynet. Kyle was sent back in 2029.
Then why the hell did Skynet send 3 Terminators back in time in a crazy plot to kill Conner in the past if the humans were losing the war?