Don’t worry too much, I wouldn’t class this as a failure - it was for a fully sponsored ab-initio course - you were probably competing against thousands of other people. It’s (almost) not even worth applying. 99.9% of civilian pilots get their licence THEN get a job interview. As a graduate engineer, I assume you’re reasonably well paid? If you are serious about flying you will save, borrow and steal to get trained. Oh and kiss goodbye to having a girlfriend.