Not getting what one wants as a good thing or something to be thankful

My opinion is that when you get what you want (and not what the other sentient beings want) both an action and its result are driven by your craving and attachments (the three poisons).

An action driven by attachment is impure in its nature, and its result, too.

And what is impure in its nature gives rising to suffering.

When you have no result of an impure action, you don't accumulate negative karma, since your karma is at worst just neutral then. Hence, not getting what you want may sometimes mean luck.

is there any explicit indication that it's even good not to get what we want?

Depends on the "what" of what we want. If one wants to get filthy rich so that s/he can indulge in all sensual pleasures of life, then it's obviously not good. If one wants to perfect their own virtues, attain the peace of meditation, or put an end to suffering, then those are wholesome desires. The important key here is to have wholesome desires, not having no desire whatsoever:

From SN 51.15: "In that case, brahman, let me question you on this matter. Answer as you see fit. What do you think: Didn't you first have desire, thinking, 'I'll go to the park,' and then when you reached the park, wasn't that particular desire allayed?"

"Yes, sir."

"Didn't you first have persistence, thinking, 'I'll go to the park,' and then when you reached the park, wasn't that particular persistence allayed?"

"Yes, sir."

"Didn't you first have the intent, thinking, 'I'll go to the park,' and then when you reached the park, wasn't that particular intent allayed?"

"Yes, sir."

"Didn't you first have [an act of] discrimination, thinking, 'I'll go to the park,' and then when you reached the park, wasn't that particular act of discrimination allayed?"

"Yes, sir."

"So it is with an arahant whose mental effluents are ended, who has reached fulfillment, done the task, laid down the burden, attained the true goal, totally destroyed the fetter of becoming, and who is released through right gnosis. Whatever desire he first had for the attainment of arahantship, on attaining arahantship that particular desire is allayed. Whatever persistence he first had for the attainment of arahantship, on attaining arahantship that particular persistence is allayed. Whatever intent he first had for the attainment of arahantship, on attaining arahantship that particular intent is allayed. Whatever discrimination he first had for the attainment of arahantship, on attaining arahantship that particular discrimination is allayed.

Certainly not getting what you want is unsatisfactory. This is Dukka Dukka. I will not say this is a good thing though this kind of thought can help you emotionally. Sometimes it might be true that not getting something may be better as you might be blinded by craving as not to see the downside e.g. a partner lower in morals.

Even if you get what you want this is not satisfactory as you have to part with it at some point.

The root cause of craving is sensations experienced then in contact with the object that you want or mental satisfaction in owning it (has come into the spear of mine).

If you don't get something wanted then the sensation you experience is painful. You have to look at it as impermanent or if you are developed in meditation as arising and passing of sensations (phenomena which is experienced or felt). By doing this you are weakening your root of aversion.

When you experience satisfactory experiences you have to look at the sensations again equnimously. When you experience the pleasantness passing away do the same. This is because doing so weakens the root of craving.

When you experience neutral sensations, the process of fabrication continues. Use this as means to eradicate your ignorance. Neutral sensations are unsatisfactory since we still have conditioned existence.

By reaction to sensations you create craving. Carving with further thinking and pondering and conpept polifration creates clinging. At this point you will be planning on how to aquire what you want. If you miss de railing the train at feeling this is the next place you can try this by developing mastery over the mind. This is nothing wrong working towards getting what you want within the framework of morality and right livelihood. But in doing so you should try to be equanimous as possible to sensations and try developing more mastery over the mind to prevent craving and clinging.