Well, actually...
First final, against Bayern, won 5-2. 3-1 up by half-time, 4-1 up by the hour.
Second final, against Bayern, lost 2-1. 0-0 at half-time, 1-0 down on 60 minutes, 1-1 by the 70th minute, 2-1 down at full-time.
Third final, against Bayern, lost 2-0. 0-0 at full-time, conceded 2 in extra time.
Fourth final, against Wolfsburg, lost 3-1. 1-0 up after five minutes, 3-1 down by half-time.
Fifth final, against City, drew 1-1, lost on penalties. 0-0 at half-time, 1-0 down by the 50th minute, 1-1 at full-time, lost on penalties.
Sixth final, against Sevilla, lost 3-1. 1-0 up by half-time, 1-1 a minute into the second half, 3-1 down by the 70th minute.
Seventh final, against Real Madrid, lost 3-1. 0-0 at half-time, 1-0 down on 50 minutes, 1-1 on 55 minutes, 2-1 down on 65 minutes, 3-1 at full-time.
At half-time in cup finals, Klopp's teams are up 5-4. At full-time after extra-time, they're down 16-10. Twice his sides have taken the lead in finals, only to go on and concede 3 and lose. Three times, his sides have leveled from behind, only to go on and lose.
Without spending ages going through all of the results, there definitely seems to be a distinct pattern of Klopp's teams, particularly his Liverpool side, conceding goals in the latter stages of games, without scoring more in the same period to counteract that, and it's something that has proven to be true in 6 straight cup finals now.