The following story may be apocryphal, but General Marshall supposedly, having lost patience with PM Winston Churchill's repeated attempts to divert Allied resources into the Balkans as a way of postponing D-Day, finally blew up when Churchill demanded an invasion of Crete and told Churchill to his face that "...no American boys are going to die on that goddamned island!".

Not quite the same as saying "Can't win, get out" of a war, though.

The Duke of Wellington told the cabinet during the War of 1812 that it would take Great Britain "fifty years" to reconquer the United States. They really didn't have "supreme commanders" back then but given the importance of the war against Napoleon at the time, Wellington was de facto calling the shots on strategic advice.